Research
Discover the latest research papers written by OptionMetrics,
our customers, and researchers worldwide leveraging
OptionMetrics data.
C. C. Hyland: Taming Black Swans: Monetary Policy in the Presence of Tail Risks
Central banks have long engaged in risk management, adjusting policy preemptively when tail risks rise. This paper sets out a formal framework for doing so. Using options data, I show empirically that tail-risk shocks act as negative aggregate demand shocks, ... Read More
M. Leippold, C.C. Senni & S. Vaghefi: Policy Shocks and Algorithmic Infrastructure Dependence
We study how firms exposed to concentrated algorithmic infrastructure are repriced when U.S. export controls alter access to that infrastructure. We construct an Algorithmic Dependence Index (ADI) from 89,965 corporate 10-K filings measuring exposure to cloud platforms, AI accelerators, and ... Read More
Z. Wang and G. Zhang: Joint Valuation of SPX and VIX Options by GARCH Models with Bad and Good Environments
We develop a GARCH model inspired by the bad environment-good environment (BEGE) framework and apply it to the joint valuation of SPX and volatility index (VIX) options. Our empirical analysis using S&P 500 index returns reveals that the bad volatility ... Read More
M. Maurer: Dealer Gamma Exposure and Overnight Gap Risk: Incremental Information in Low-Volatility Regimes
Dealer gamma exposure in S&P 500 options is widely claimed to predict realised volatility, with effects concentrated in stressed environments. I test that claim out of sample and find the opposite: against a properly specified Corsi HAR baseline with a ... Read More
G. DeSimone and A. Rotach: The Dividend Valuation Gap: Extracting Alpha from Options-Implied Yields
This paper examines the implied dividend gap, the difference between options-implied dividend yields and trailing realized dividend yields, as a forward-looking predictor of stock returns. Using optionable U.S. dividend-paying equities from 2018–2026, the study finds that stocks with low implied ... Read More
Z.Annigeri: Regime-Dependent Delta Hedging with SVI-Calibrated Volatility Surfaces: An Empirical Analysis of SPX Index Options
This paper investigates which volatility input minimizes delta-hedging error for S&P 500 index options across different market regimes. I compare five volatility inputs for computing Black-Scholes hedge deltas: (1) flat at-the-money implied volatility, (2) strike-specific implied volatility from a calibrated ... Read More
Highlighted Research
Reducing Risk through Multifactors: Implied Variance Asymmetry and Implied Beta
By G. DeSimone & O. Shih
February 15, 2024
OptionMetrics' latest study challenges conventional risk assessment using metrics like implied variance asymmetry (IVA), calculated as the measure of downside variance relative to upside variance, and option-implied beta strategies.