This paper studies the implied volatility (IV) smirks in four commodity markets by adopting Zhang and Xiang's methodology. First, we document the term structure and dynamics of IV smirks. Overall, the commodity IV curves are negatively skewed with a positive curvature. Then we analyze the commodity and S&P 500 returns' predictability based on in‐sample and out‐of‐sample tests and find that the information embedded in IV smirks can significantly predict monthly commodity and S&P 500 returns. For example, the risk‐neutral fourth cumulant (FC) from the crude oil market outperforms all of the standard predictors in predicting the S&P 500 returns.

中文翻译：

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商品期权的隐含波动性假笑

本文采用张和湘的方法研究了四个商品市场的隐含波动率（IV）假笑。首先，我们记录IV假笑的术语结构和动力学。总体而言，商品IV曲线呈负曲率，呈正曲率。然后，我们基于样本内和样本外测试分析了商品和S＆P 500的收益的可预测性，发现IV傻笑中嵌入的信息可以显着预测每月商品和S＆P 500的收益。例如，在预测标准普尔500指数收益时，来自原油市场的风险中性第四累积量（FC）优于所有标准预测指标。