J. Joenvaara, M. Kauppila, “Hedge Fund Tail Risk: Performance and Hedging Mechanisms,” (working paper series)

Abstract: We decompose hedge fund tail risk into two components: Systematic Conditional Tail Risk (SCTR), which arises predictably from equity market exposure; and Idiosyncratic Conditional Tail Risk (ICTR), which arises from proprietary alpha investment technology. First, we show that low-SCTR hedge funds deliver superior risk-adjusted returns, but not average returns. In contrast, low-ICTR funds provide both higher risk-adjusted returns and … Read More »


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OptionMetrics OptionMetrics is the financial industry’s premier provider of quality historical option price data, tools, and analytics. Currently, over 300 institutional subscribers and universities rely on our products as their main source of options pricing, implied volatility calculations, volatility surfaces, and analytics. We enable traders to construct, test, and execute options/derivatives investment strategies and accurately monitor their risk exposure, so … Read More »


The Business Journals announces our 3rd annual OptionMetrics Research Conference!

September 30, 2014 The Business Journals announces our 3rd annual OptionMetrics Research Conference! Industry conference draws leaders to discuss options and crash risk, asset prices, volatility, and the markets overall PR Newswire NEW YORK, Sept. 22, 2014 NEW YORK, Sept. 22, 2014 /PRNewswire-iReach/ — OptionMetrics, a leading source for quality historical option price data, tools and analytics, has announced the … Read More »


Eran Steinberg, joined OptionMetrics as Vice President, Head of Global Sales and Marketing.

September 30, 2014 Eran Steinberg, joined OptionMetrics as Vice President, Head of Global Sales and Marketing. Eran Steinberg, 44, joined OptionMetrics as Vice President, Head of Global Sales and Marketing. He was formerly Vice President, Head of Americas Account Management at S&P Capital IQ. In his new role, Eran Steinberg will be responsible for increasing visibility and sales for the … Read More »


OptionMetrics Research Conference (ORC2014)

Join us at the OptionMetrics Research Conference! October 20, 2014 in New York, NY OptionMetrics cordially invites you to attend the 2014 OptionMetrics Research Conference (ORC 2014) to be held on October 20, 2014 at Convene, Times Square Register now! OptionMetrics has organized a one-day conference, bringing together users and researchers from both academia and industry, to share ideas and increase understanding of … Read More »


OptionMetrics Research Conference (ORC2014) Call for Papers Deadline July 14, 2014

Call for Papers for 2014 OptionMetrics Research Conference (ORC2014) The 2014 OptionMetrics Research Conference (ORC2014) 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, the OptionMetrics IvyDB data is invited to attend. » … Read More »


X. Wesley Wang, Q. Lei, “Volatility Spread and the Stock Market Response to Earnings Announcements,” (working paper series)

Abstract: Using a broad sample of earnings announcements, we find that option call and put implied volatilities become increasingly misaligned as the earnings announcement dates (EAD) get closer. The percentage deviation between call and put implied volatilities increases monotonically in the one-month period leading up to the EAD. In addition, the direction of these deviations is consistent with the announcement … Read More »


M. Cremers, A.Fodor, D. Weinbaum, “Where Do Informed Traders Trade (First)? Option Trading Activity, News Releases, and Stock Return Predictability,” (working paper series)

Abstract: We examine patterns of option trading activity around news announcements. Using a database of option volume initiated by traders to open new positions, combined with a database of news releases, we find that option trading activity is unusually high both immediately before news days and on news days. The trading advantage of option traders stems from their ability to … Read More »


C. Culp, Y. Nozawa, P. Veronesi, “Option-Based Credit Spreads,” (working paper series)

Abstract: Theoretically, corporate debt is economically equivalent to safe debt minus a put option on the firm’s assets. We empirically show that indeed portfolios of long Treasuries and short traded put options (“pseudo bonds”) closely match the properties of traded corporate bonds. Pseudo bonds display a credit spread puzzle that is stronger at short horizons, unexplained by standard risk factors, … Read More »


F. Hollstein, M. Prokopczuk, “Estimating Beta,” (accepted paper series,Journal of Financial and Quantitative Analysis, Forthcoming)

Abstract: We conduct a comprehensive comparison of market beta estimation techniques. We study the performance of several historical, time-series model, and option implied estimators for estimating realized market beta. Thereby, we find the hybrid methodology of Buss and Vilkov (2012) to consistently outperform all other approaches. In addition, all other approaches, including fully implied and GARCH-based methods for dynamic conditional … Read More »