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Option-implied Data and Analysis
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Description: The project contains the links to a number of my data collections for a set of articles, all of which use equity options to extract useful information about the future markets. The data include implied and realized equicorrelations for the SP500 index, model-free implied skewness for the stocks in SP500 1990-2020 universe, option-implied betas for SP500 stocks, generalized lower bounds for the expected excess simple returns.
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Generalized Bounds on the Conditional Expected Excess Return on Individual Stocks
https://dx.doi.org/10.2139/ssrn.3565130 : We derive generalized bounds on conditional expected excess returns. The bounds deliver consistent expected ...
Measuring Equity Risk with Option-implied Correlations
The Review of Financial Studies, 25(10), October 2012, 3113–3140, https://doi.org/10.1093/rfs/hhs087 We use forward-looking information from option p...
Risk-Neutral Skewness: Return Predictability and Its Sources
Paper link: http://dx.doi.org/10.2139/ssrn.1301648 Abstract: Using data on individual stock options, we show that the currently observed option-implie...
Option-Implied Correlations and the Price of Correlation Risk
Link to the paper: http://dx.doi.org/10.2139/ssrn.2166829 The data contains option-implied and realized equicorrelation (IC and RC) estimates for S&...
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