Research

G. Barone-Adesi, C. Legnazzi, C. Sala: Option-Implied Risk Measures: An Empirical Examination on the S&P500 Index

April 3, 2020

The forward-looking nature of option market data allows one to derive economically-based and model-free risk measures. This article proposes an extensive analysis of the performances of option-implied VaR and CVaR, and compare them with classical risk measures for the S&P500 Index. Delivering good results both at short and long time horizons, the proposed option-implied risk metrics emerge as a convenient alternative to the existing risk measures.