Term spreads of implied volatility smirk and variance risk premium

被引：1

作者：

Guo, Wei ^{[1
]}

Ruan, Xinfeng ^{[2
,3
,4
]}

Gehricke, Sebastian A. ^{[3
]}

Zhang, Jin E. ^{[3
,5
]}

机构：

[1] Univ Shanghai Sci & Technol, Business Sch, Dept Finance, Shanghai, Peoples R China

[2] Xian Jiaotong Liverpool Univ, Int Business Sch Suzhou, Dept Finance, Suzhou, Peoples R China

[3] Univ Otago, Otago Business Sch, Dept Accountancy & Finance, Dunedin, New Zealand

[4] Xian Jiaotong Liverpool Univ, Int Business Sch Suzhou, Dept Finance, Suzhou 215000, Peoples R China

[5] Univ Otago, Otago Business Sch, Dept Accountancy & Finance, Dunedin 9054, New Zealand

来源：

JOURNAL OF FUTURES MARKETS | 2023年 / 43卷 / 07期

关键词：

implied volatility; prediction; SPX options; term spread; variance risk premium; EXPECTED STOCK RETURNS; JUMP-RISK; OPTIONS; PERFORMANCE; US;

D O I：

10.1002/fut.22409

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this paper, we study the pattern of S&P 500 index options implied volatility (IV) curves and their predictive ability for the variance risk premium (VRP). We explore this predictability employing by the Zhang and Xiang IV factor estimation. We show that the level factor term spread significantly predicts the VRP, proxied by straddle returns and variance swap returns, in both in-sample and out-of-sample tests. The predictability is more pronounced for straddle returns rather than variance swap returns.

引用

页码：829 / 857

页数：29

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