Research
Discover the latest research papers written by OptionMetrics,
our customers, and researchers worldwide leveraging
OptionMetrics data.
G. DeSimone and O. Shih: Reducing Risk through Multifactors: Implied Variance Asymmetry and Implied Beta
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. By combining low beta with high IVA, we yield a superior ... Read More
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
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.