Under the stochastic volatility-of-volatility framework, we show that oil volatility-of-volatility risk is a significant pricing factor for cross-sectional delta-hedged gains constructed from 1-month United States Oil Fund (USO) options, and is negatively priced. Moreover, oil volatility-of-volatility risk can significantly and negatively predict one-period ahead delta-hedged option gains. The findings are robust after implementing several tests such as controlling for jump risk measures, another measure of oil volatility-of-volatility and delta-hedged gains constructed from 1-week USO options. The information content of oil volatility-of-volatility is also distinctive from its equity counterpart, which can contribute to predicting the future real personal consumption expenditure.

中文翻译：

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原油市场的波动风险

在随机波动率框架下，我们表明石油波动率风险是基于 1 个月美国石油基金 (USO) 期权构建的横截面 delta 对冲收益的重要定价因素，并且是负面的定价。此外，石油波动率风险可以显着地负面预测未来一个时期的 delta 对冲期权收益。在实施了多项测试（例如控制跳跃风险措施、石油波动率的另一种衡量标准以及从 1 周 USO 期权构建的 delta 对冲收益）后，这些发现是稳健的。石油波动率的信息内容也不同于其股票对应的信息，这有助于预测未来的实际个人消费支出。