Overnight Reversals of Implied Higher Moments and Their Put‐Call Spreads
研究了隔夜反转现象是否从现货和期权收益扩展到期权隐含高阶矩及其看跌看涨价差，发现隐含矩和价差存在显著且独立的隔夜反转，且反转是多维的，反映了合约层面在行权价和期权类型上的差异。
ABSTRACT We examine whether overnight reversals extend beyond spot and option returns to option‐implied higher moments and associated put‐call spreads. Implied moments and their put‐call spreads exhibit significant overnight reversals that are largely independent, with limited spillovers across variables. Reversals in underlying returns and implied volatility are asymmetric, unlike higher moments and put‐call spreads. When examined separately, moments implied by calls and by puts both reverse, interacting to generate reversals in put‐call spreads for all three moments. These findings highlight that overnight reversals in options markets are multidimensional, reflecting contract‐level differences across strikes and option types.