Very Noisy Option Prices and Inference Regarding the Volatility Risk Premium

• 成果类型: Article
• 署名作者: Duarte, Jefferson; Jones, Christopher s.; Wang, Junbo l.
• 署名单位: Rice University; University of Southern California; Louisiana State University System; Louisiana State University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13365
• 发表日期: 2024
• 关键词: IMPLIED VOLATILITY; INFORMATION; biases

摘要

The stylized fact that volatility is not priced in individual equity options does not withstand scrutiny. First, we show that the average return of heavily traded deep out-of-the-money call options on stocks is -116 basis points per day. Second, Fama-MacBeth estimates of the volatility risk premium in stock options are similar to those in S&P 500 Index call options. Third, the mean return of heavily traded delta-hedged at-the-money calls (puts) is -23 (-30) basis points. Fourth, the variance risk premium in stock options is negative. Our analysis highlights the importance of microstructure biases and robustness in empirical work with options.