Research
Discover the latest research papers written by OptionMetrics,
our customers, and researchers worldwide leveraging
OptionMetrics data.
P. Rajaure: When Primaries Polarize: Candidate Ideological Variance and Option-Implied Volatility
This paper investigates a novel dimension of political uncertainty: the impact of ideological dispersion among viable U.S. presidential primary candidates on financial market volatility. We posit that the variance in policy platforms within a contested primary represents a distinct form ... Read More
L. Goncalves, and C. Sala: Do Options Really Speak Volumes? Insights from the Predictability of Synthetic Stock Returns
If option volume truly conveys incremental information, it should predict the spread between actual and synthetic stock returns. We test this conjecture and find that both signed and unsigned volumes largely fail to do so, whether around earnings releases, 8-K ... Read More
D. Hsieh, A. Brini, P. Kupier, S. Moushegian, and D. Ye: Empirical Models of the Time Evolution of SPX Option Prices
The key objective of this paper is to develop an empirical model for pricing SPX options that can be simulated over future paths of the SPX. To accomplish this, we formulate and rigorously evaluate several statistical models, including neural network, ... Read More
D. Zheng, H. Guo, Y. Liu, and W. Huang: Neural Jumps for Option Pricing
Recognizing the importance of jump risk in option pricing, we propose a neural jump stochastic differential equation model in this paper, which integrates neural networks as parameter estimators in the conventional jump diffusion model. To overcome the problem that the ... Read More
M. Ma, X. Martin, M. Ringgenberg, and G. Zhou: An Information Factor: What Are Skilled Investors Buying and Selling?
We construct a novel information factor (INFO) using the informed trades of corporate insiders, short sellers, and option traders. INFO strongly predicts future stock returns-a long-short portfolio formed on INFO earns monthly alphas of 1.07%, substantially outperforming existing strategies including ... Read More
S. Warkulat, M. Pelster, and G. Weiss: Sentiment and the Equity Options Market
We show that firm-specific social media sentiment can predict the crosssection of delta-hedged call option returns. A long-short strategy that buys calls with the least positive stock sentiment and shorts calls with the most positive sentiment earns significant abnormal returns. ... 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.