ABSTRACT We investigate whether the option implied volatility predicts the future realised volatility of the underlying securities and whether volatility risk factors exploited from options are pricing factors. Our sample includes six popular stock indices such as the S&P 500 and S&P 100 and their options from January 2007 to November 2017. We find option implied volatility of every stock index is positively related to future realised volatility. Return distributions of index call and put contracts exhibit similar a pattern with previous studies, with positive (negative) average call (put) return and highly skewed. Zero-beta straddle portfolio containing long position in one at-the-money call and put index option reports negative average monthly returns and becomes less negative over time. We find the market risk factor is a significant risk factor while the straddle return is an insignificant pricing factor.

中文翻译：

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GFC后时代的预期期权收益

摘要我们调查期权的隐含波动率是否可以预测标的证券的未来实现的波动率，以及从期权中利用的波动率风险因素是否为定价因素。我们的样本包括2007年1月至2017年11月期间的六种受欢迎的股票指数，例如S＆P 500和S＆P 100及其期权。我们发现，每种股票指数的期权隐含波动率与未来实现的波动率呈正相关。指数看涨期权和看跌合约的收益分布表现出与以前的研究类似的模式，平均（收回）正看涨期权（收益率）为正（负）且高度偏斜。零beta跨期投资组合包含一个平价看涨期权和看跌期权的多头头寸，报告的平均月收益率为负，并且随着时间的流逝，其负值变得较小。