F. Bellini, E. Rroji, C. Sala: Implicit Quantiles and Expectiles

September 19, 2019

We compute nonparametric and forward-looking option-implied quantile and expectile curves, and we study their properties on a 5 year dataset of weekly options written on the S&P 500 Index. After studying the dynamics of the single curves and their joint behaviour, we investigate the potentiality of these quantities for risk management and forecasting purposes. As an alternative form of variability mesaures, we compute option implied interquantile and interexpectile differences, that are compared with a weekly VIX like index.