EconPapers    
Economics at your fingertips  
 

The information content of short-term options

Ioannis Oikonomou, Andrei Stancu, Lazaros Symeonidis () and Chardin Wese Simen

Journal of Financial Markets, 2019, vol. 46, issue C

Abstract: We exploit weekly options on the S&P 500 index to compute the weekly implied variance. We show that the weekly implied variance is a strong predictor of the weekly realized variance. In an encompassing regression test, it crowds out the information content of the monthly implied variance. Further tests reveal that the weekly implied variance outperforms not only the monthly implied variance but also well-established time series models of realized variance. This result holds both in- and out-of-sample and the forecast accuracy gains are significant.

Keywords: Implied variance; Predictability; Realized variance; Weekly options (search for similar items in EconPapers)
JEL-codes: G11 G12 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1386418118303057
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finmar:v:46:y:2019:i:c:s1386418118303057

DOI: 10.1016/j.finmar.2019.07.003

Access Statistics for this article

Journal of Financial Markets is currently edited by B. Lehmann, D. Seppi and A. Subrahmanyam

More articles in Journal of Financial Markets from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2020-03-03
Handle: RePEc:eee:finmar:v:46:y:2019:i:c:s1386418118303057