Accessibility navigation


The information content of short-term options

Oikonomou, I., Stancu, A., Symeonidis, L. and Wese Simen, C. (2019) The information content of short-term options. Journal of Financial Markets, 46. 100504. ISSN 1386-4181

[img] Text - Accepted Version
· Restricted to Repository staff only until 2 February 2021.
· Available under License Creative Commons Attribution Non-commercial No Derivatives.

1MB

It is advisable to refer to the publisher's version if you intend to cite from this work. See Guidance on citing.

To link to this item DOI: 10.1016/j.finmar.2019.07.003

Abstract/Summary

We exploit weekly options on the S&P 500 index to compute the weekly implied variance. We show that the weekly implied variance is a strong predictor of the weekly realized variance. In an encompassing regression test, it crowds out the information content of the monthly implied variance. Further tests reveal that the weekly implied variance outperforms not only the monthly implied variance but also well-established time series models of realized variance. This result holds both in- and out-of-sample and the forecast accuracy gains are significant.

Item Type:Article
Refereed:Yes
Divisions:Henley Business School > ICMA Centre
ID Code:85398
Uncontrolled Keywords:Implied variance; Predictability; Realized variance; Weekly options
Publisher:Elsevier

University Staff: Request a correction | Centaur Editors: Update this record

Page navigation