Real-time forward-looking skewness over the business cycle
测量了1980至2021年间个股和标普500指数的期权隐含偏度，发现微观偏度显著顺周期且领先商业周期，与信用利差紧密相关，而宏观偏度无周期特征。
This paper measures option-implied skewness for individual firms and the S&P 500 index between 1980 and 2021, giving real-time measures of conditional micro and macro skewness. There are three key results: 1. Micro skewness is significantly procyclical, while macro skewness is acyclical; 2. Micro skewness leads the business cycle and is strongly linked to credit spreads, suggesting one potential causal channel; 3. Micro skewness is significantly, and not mechanically, correlated with macro volatility, implying that there is a common shock driving them both, which is also linked to the business cycle.