The implied volatility smirk in SPY options

被引：4

作者：

Guo, Wei ^{[1
]}

Gehricke, Sebastian A. ^{[1
]}

Ruan, Xinfeng ^{[1
]}

Zhang, Jin E. ^{[1
]}

机构：

[1] Univ Otago, Otago Business Sch, Dept Accountancy & Finance, Dunedin, New Zealand

来源：

APPLIED ECONOMICS | 2021年 / 53卷 / 23期

基金：

中国国家自然科学基金;

关键词：

Implied volatility (IV); IV smirks; SPY options; global financial crisis (GFC); prediction;

D O I：

10.1080/00036846.2020.1866159

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We provide a comprehensive study of the implied volatility (IV) smirk in the SPDR S&P 500 Exchange-Traded Fund (SPY ETF) option market. In general, the IV curves are downward sloping with little curvature, exhibiting an almost straight line. However, the shape of the IV curves becomes more curved during the global financial crisis (GFC) period, indicating that the commonly accepted IV smirk shape is driven by the GFC. In addition, based on in-sample, out-of-sample tests and asset allocation analysis, we show that the first difference of the slope factor can predict the next month's SPY excess returns.

引用

页码：2671 / 2692

页数：22

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