Volatility and expected option returns: A note

Mo Chaudhury

Economics Letters, 2017, vol. 152, issue C, 1-4

Abstract: We show analytically that the relationship between asset volatility and expected option return is ambiguous. Numerical results elaborate how the direction and magnitude of the relationship depend on asset beta and volatility levels, and option moneyness and maturity.

Keywords: Volatility; Expected option return; Cross-section of option returns (search for similar items in EconPapers)
JEL-codes: G12 G13 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:152:y:2017:i:c:p:1-4

DOI: 10.1016/j.econlet.2016.12.014

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