A New Index of Option Implied Absolute Deviation
提出一个从期权价格中提取的前瞻性绝对偏差指数（ADIX），该指数计算简单且无需模型。研究发现，波动率指数（VIX）与ADIX的价差能捕捉风险中性分布的非正态性，并对短期至中期未来股票收益有显著预测能力，基于此价差的投资策略优于买入持有策略。
ABSTRACT This paper proposes a new index of forward looking absolute deviation extracted from option prices. The new index, named absolute deviation index (ADIX), is model‐free and easy to compute using at‐the‐money call and put option prices. It is shown that the spread between volatility index (VIX) and ADIX captures departures from normality in the risk‐neutral distribution and an empirical analysis using S&P 500 options data for the time period 1996–2021 reveals that the spread carries significant forecasting ability with respect to future equity returns at short to medium horizons. Portfolio strategies that use the spread as a predictor of S&P 500 returns outperform buy‐and‐hold strategies in an out‐of‐sample mean‐variance asset allocation exercise.