Research
Discover the latest research papers written by OptionMetrics,
our customers, and researchers worldwide leveraging
OptionMetrics data.
Flipping the Arbitrage: How Option Prices Imply Negative Interest Rates
We exploit the European-style characteristic of index options to show that trading these options requires investors to lay arbitrage opportunities on the table. This methodology is extremely clean, requiring only the option prices and exercise prices. Our results for the ... Read More
G. DeSimone: Tomorrow’s Crash Risk: Evidence from 1DTE Options
This paper investigates the predictive content of option-implied tail measures for forecasting next-day market crashes in the era of ultra short-dated (1DTE) options. Building on Bollerslev and Todorov (2011), we construct a model-free left-tail risk metric derived from deep out-of-the-money ... Read More
F. Chabi-Yo, E. Gourier, and H. Langlois: Option-Implied Risk Premia with Intertemporal Hedging
The equity and variance risk premia at a horizon T 1 depend on the risk of changes in the future economic environment beyond T 1. We derive novel estimates of these risk premia that account for intertemporal risk hedging and ... Read More
I. Halperin & A. Itkin: Marketron through the Looking Glass: From Equity Dynamics to Option Pricing in Incomplete Markets
The Marketron model, introduced by [Halperin, Itkin, 2025], describes price formation in inelastic markets as the nonlinear diffusion of a quasiparticle (the marketron) in a multidimensional space comprising the log-price x, a memory variable y encoding past money flows, and ... Read More
P. Glasserman, M. Li and D.Pirjol: Trading TP 2 Option Violations
Call option prices in the Black-Scholes model are totally positive of order 2 (TP 2), meaning that the ratio of the price of a higher-strike call to a lower-strike call increases with time-to-expiry, with adjustments for dividends and interest. This ... Read More
J. Zhuang & W. Lu: Sabr-Informed Multitask Gaussian Process: A Synthetic-to-Real Framework for Implied Volatility Surface Construction
Constructing the Implied Volatility Surface (IVS) is a challenging task in quantitative finance due to the complexity of real markets and the sparsity of market data. Structural models like Stochastic Alpha Beta Rho (SABR) model offer interpretability and theoretical consistency ... 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.