The Variance Premium and Seasonal Momentum in Option Returns

• 成果类型: Article; Early Access
• 署名作者: Heston, Steven L.; Jones, Christopher S.; Khorram, Mehdi; Li, Shuaiqi; Mo, Haitao
• 署名单位: University System of Maryland; University of Maryland College Park; Iowa State University; City University of Hong Kong; University of Kansas
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454; 1465-7368
• DOI: 10.1093/rfs/hhag057
• 发表日期: 2026-08-09
• 关键词: G12; G13; G40; cross-section; MARKET VOLATILITY; stock returns; RISK; price; INFORMATION; recommendations

摘要

We develop a model-free measure of the variance premium by constructing option portfolios whose returns are highly correlated with realized stock variance. This effectively decomposes returns into realized variance minus implied variance. We apply this decomposition to document a novel quarterly cross-sectional continuation pattern in both realized variance and implied variance of individual stocks. Implied variance underanticipates the seasonality of realized variance, so options that performed well at quarterly lags continue to earn high returns in the future. Quarterly periodicity in realized stock variance only occurs on days with analyst earning revisions, suggesting an informational channel for this pattern.