Do Equity and Options Markets Agree about Volatility?

• 成果类型: Article; Early Access
• 署名作者: Chong, Carsten H.; Todorov, Viktor
• 署名单位: Hong Kong University of Science & Technology; Northwestern University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082; 1540-6261
• DOI: 10.1111/jofi.70070
• 发表日期: 2026-07-23
• 关键词: fundamental theorem; INDEX OPTIONS; risk premia; asset; price; deviations; portfolio; arbitrage; returns; models

摘要

We derive tight pricing kernel restrictions from options with same-day expiration (0DTEs). These restrictions concern the volatility of small and frequent asset price moves that the equity and options markets must agree on in a frictionless economy. Their violation leads to pseudo-arbitrage opportunities, characterized by nontrivial reward-to-risk ratios over arbitrarily short horizons and achieved by a combined position in 0DTEs and the underlying asset. Empirically, we find no evidence of feasible pseudo-arbitrage opportunities, as transaction costs, estimation risk, and short-term volatility risk prevent investors from taking advantage of small and infrequent disagreements about volatility between equity and options markets.