We study the gains from using short-dated options for volatility measurement and forecasting. Using option portfolios, we estimate nonparametrically spot volatility under weak assumptions for the underlying asset. This volatility estimator complements existing ones constructed from high-frequency returns. We show empirically, using the market index and Dow 30 stocks, that combining optimally return and option data can lead to nontrivial gains for volatility forecasting. These gains are due to “diversification” of the measurement error in the two volatility proxies. The information content of short-dated options, not spanned by the current spot volatility, is of limited relevance for volatility forecasting.

中文翻译：

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使用短期期权来衡量和预测波动性的信息收益

我们研究了使用短期期权进行波动率测量和预测的收益。使用期权组合，我们在对标的资产的弱假设下以非参数方式估计现货波动率。该波动率估计器补充了现有的由高频收益构建的估计器。我们使用市场指数和道琼斯 30 指数的股票凭经验表明，结合最优回报和期权数据可以为波动性预测带来不平凡的收益。这些收益是由于两个波动率代理中测量误差的“多样化”。短期期权的信息内容不受当前现货波动率的影响，与波动率预测的相关性有限。