Research
Discover the latest research papers written by OptionMetrics,
our customers, and researchers worldwide leveraging
OptionMetrics data.
G. Zhou and C. Zhou: What Explains GameStop Price Surge? Evidence from Both Stock and Option Tick-by-tick Trading
In January 2021, GameStop experienced an extraordinary surge in its stock price, soaring from $17.25 on January 4 to a pre-market value of $514.50 on January 28. In contrast to previous studies, we use tick-by-tick data of stock and options ... Read More
G. DeSimone and A. Rotach: The Implied Advantage: Empowering Beta-Neutrality with Options-Based Metrics
In this research, we present evidence showcasing the superior effectiveness of implied betas in achieving beta neutrality for leveraged long/short factor portfolios compared to historical beta estimates. We find that nearly all portfolios using implied beta for leverage calculation are ... Read More
E. Wilson: Hedge Funds With(out) Edge
I propose a new benchmark to evaluate hedge fund performance: the returns to shorting CBOE Volatility Index (VIX) futures. The informativeness of this benchmark leads to a new methodology that is able to predict hedge fund performance. Specifically, it separates ... Read More
G. DeSimone, A. Gupta, A. Rotach & O. Shih: The Implied Bet Against Beta (IBAB) Factor: A New Frontier for Low-Volatility Investing
In this research, we introduce a new factor, IBAB, which utilizes implied betas to construct a long-short portfolio of leveraged low-beta and short high-beta securities. Our results show that in the universe of S&P 500 constituents, IBAB outperforms the traditional ... Read More
H. Beckmeyer, I. Filippou, and G. Zhou: “A New Option Momentum: Compensation for Risk”
In this paper, we propose a cross-sectional option momentum strategy that is based on the risk component of delta-hedged option returns. We find strong evidence of risk continuation in option returns. Specifically, options with a high risk component significantly outperform ... Read More
N. Käfer, M. Moerke, and T. Wiest: “Option Factor Momentum”
We document profitable cross-sectional and time-series momentum in a broad set of 56 option factors constructed from monthly sorts on daily delta-hedged option positions. Option factor returns are highly autocorrelated, but momentum profits of strategies with longer formation periods are ... Read More
Highlighted Research
Demand for Option Order Delta
By G. DeSimone
June 2, 2022
OptionMetrics’ latest research paper, Demand for Option Order Delta (DOOD), proposes a new options-based metric to estimate demand imbalance for delta by end-users of options. Read the full white paper below to learn more.