The Dynamics of Option Volatility Smirk and Option Returns Predictability: Evidence From Chinese SSE50 ETF Options
研究了从期权波动率偏斜中提取的风险中性矩对上证50ETF期权delta中性收益的预测能力，发现风险中性偏度显著预测看涨期权收益，基于预测模型的交易策略年化收益可达293%。
ABSTRACT We examine the predictive ability of risk‐neutral moments extracted from option volatility smirks for the option delta‐neutral returns using the SSE50 ETF stock index option. We find risk‐neutral skewness changes over market conditions. The risk‐neutral skewness significantly predicts 1‐day, 2‐day, and 1–4 weeks ahead call option returns with negative signs in both in‐sample and out‐of‐sample tests. The results are robust in including other control variables and different constant maturity risk‐neutral skewnesses. Trading strategies based on the predictive model yield a potential maximum annual return of 293%.