Crazy Math, Illiquidity, and More Takeaways from the OptionMetrics Conference

“Food for thought from the OptionMetrics Conference” – This is the title of a blog post by Adam Warner from Schaeffer’s Investment Research. He posted an informative and entertaining review of the 2015 OptionMetrics Research Conference featuring his ¬†personal takeaways, including: 1 –¬†It takes a while to heat an aircraft carrier; 2 – I thought there would be no math…Or … Read More »


OptionMetrics Research Conference (ORC2015)

Join us at the 2015 OptionMetrics Research Conference! October 19, 2015 at the Intrepid Sea, Air & Space Museum Complex OptionMetrics cordially invites you to attend our 4th Annual OptionMetrics Research Conference (ORC2015) which is being held on October 19, 2015 at the Intrepid Sea, Air & Space Museum Complex ORC2015 will bring together OptionMetrics users and researchers from both … Read More »


OptionMetrics Research Conference (ORC2015): Call for Papers – Deadline August 12, 2015

Call for Papers for 2015 OptionMetrics Research Conference (ORC2015) The 2015 OptionMetrics Research Conference (ORC2015) will bring together OptionMetrics users and researchers from both academia and industry. The goal of the conference is to share ideas and increase overall understanding of the options markets. Anyone who currently uses, or has an interest in using, any of OptionMetrics’ IvyDB data products … Read More »


H. Park, B. Kim, H. Shim, “A Smiling Bear in the Equity Options Market and the Cross-Section of Stock Returns,” (working paper series)

Abstract: We propose a measure for the convexity of an option-implied volatility curve, IV convexity, as a forward-looking measure of excess tail-risk contribution to the perceived variance of underlying equity returns. Using equity options data for individual U.S.-listed stocks during 2000-2013, we find that the average return differential between the lowest and highest IV convexity quintile portfolios exceeds 1% per … Read More »


P. Schneider, C. Wagner, J. Zechner, “Low Risk Anomalies?,” (working paper series)

Abstract: This paper shows theoretically and empirically that beta- and volatility-based low risk anomalies are driven by return skewness. The empirical patterns concisely match the predictions of our model that endogenizes the role of skewness for stock returns through default risk. With increasing downside risk, the standard capital asset pricing model (CAPM) increasingly overestimates expected equity returns relative to firms’ … Read More »


A. Eisdorfer, E. Kohl, “Corporate Sport Sponsorship and Stock Returns: Evidence from the NFL,” (working paper series)

Abstract: Most of the home stadiums/arenas of major-sport teams in the U.S. are sponsored by large publicly traded companies. Using NFL data we find that stock returns to the sponsoring firms are affected by the outcomes of games played in their stadiums. For example, the mean difference between next-day abnormal returns after a win and after a loss of the … Read More »


R. Israelov, L. Nielsen, “Still Not Cheap: Portfolio Protection in Calm Markets,” (working paper series)

Abstract: Recent equity volatility is near all-time lows. Option prices are also low. Many analysts suggest this represents a good opportunity to purchase put options for portfolio insurance. It is well-known that portfolio insurance is expensive on average, but what about in calm markets? History suggests it still is. We investigate the relationship between option richness and volatility across ten … Read More »


B. Feunou, M. Jahan-Parvar, C. Okou, “Downside Variance Risk Premium,” (working paper series)

Abstract: We propose a new decomposition of the variance risk premium in terms of upside and downside variance risk premia. The difference between upside and downside variance risk premia is a measure of skewness risk premium. We establish that the downside variance risk premium is the main component of the variance risk premium, and that the skewness risk premium is … Read More »