Very Noisy Option Prices and Inference Regarding the Volatility Risk Premium
研究发现个股期权中波动率被定价，深度虚值看涨期权日均收益为-116个基点，波动率风险溢价与标普500指数期权相似，方差风险溢价为负，强调微观结构偏差和稳健性的重要性。
ABSTRACT The stylized fact that volatility is not priced in individual equity options does not withstand scrutiny. First, we show that the average return of heavily traded deep out‐of‐the‐money call options on stocks is −116 basis points per day. Second, Fama‐MacBeth estimates of the volatility risk premium in stock options are similar to those in S&P 500 Index call options. Third, the mean return of heavily traded delta‐hedged at‐the‐money calls (puts) is −23 (−30) basis points. Fourth, the variance risk premium in stock options is negative. Our analysis highlights the importance of microstructure biases and robustness in empirical work with options.