The Variance Premium and Seasonal Momentum in Option Returns
提出一种无模型方法衡量方差溢价，将期权收益分解为已实现方差与隐含方差之差，发现个股已实现方差和隐含方差存在季度横截面延续模式，且该模式仅出现在分析师盈利修正日，揭示了信息渠道。
Abstract We develop a model-free measure of the variance premium by constructing option portfolios whose returns are highly correlated with realized stock variance. This effectively decomposes returns into realized variance minus implied variance. We apply this decomposition to document a novel quarterly cross-sectional continuation pattern in both realized variance and implied variance of individual stocks. Implied variance underanticipates the seasonality of realized variance, so options that performed well at quarterly lags continue to earn high returns in the future. Quarterly periodicity in realized stock variance only occurs on days with analyst earning revisions, suggesting an informational channel for this pattern.