Do Equity and Options Markets Agree about Volatility?
研究了同一天到期的期权价格与股票价格对短期小幅波动的看法是否一致。若不一致会产生伪套利机会，但实证发现交易费用等阻碍了套利，市场总体有效。适合关注市场效率与波动率交易的人。
ABSTRACT We derive tight pricing kernel restrictions from options with same‐day expiration (“0DTEs”). These restrictions concern the volatility of small and frequent asset price moves that the equity and options markets must agree on in a frictionless economy. Their violation leads to pseudo‐arbitrage opportunities, characterized by nontrivial reward‐to‐risk ratios over arbitrarily short horizons and achieved by a combined position in 0DTEs and the underlying asset. Empirically, we find no evidence of feasible pseudo‐arbitrage opportunities, as transaction costs, estimation risk, and short‐term volatility risk prevent investors from taking advantage of small and infrequent disagreements about volatility between equity and options markets.