The Term Structure of Option-Implied Volatility and Future Realized Volatility
نویسندگان
چکیده
منابع مشابه
The term structure of equity option implied volatility
This paper investigates the relationship between the slope of the implied volatility (IV) term structure and future option returns. In Fama-Macbeth regressions we demonstrate that implied volatility slopes are positively correlated with future returns on short-term at-the-month straddles. A strategy that buys straddles with high IV slopes and short sells straddles with low IV slopes returns sev...
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ژورنال
عنوان ژورنال: Emerging Markets Finance and Trade
سال: 2019
ISSN: 1540-496X,1558-0938
DOI: 10.1080/1540496x.2019.1612360