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S&P 500收益跳跃后的隐含波动率调整

文章 arXiv papers · 作者: Juho Kanniainen et al.
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总结

本研究考察标普500指数出现收益跳跃时，期权隐含波动率是否会立即调整。研究使用逐分钟指数期权数据，跟踪跳跃后的隐含波动率，以检验渐进变化是否符合市场延迟调整的特征。报告显示，波动率变动具有方向性且持续存在，负向跳跃后尤为明显。

不同期权价内程度和类型的结果有所不同：平值期权和虚值看跌期权的隐含波动率逐渐变化，而虚值看涨期权的隐含波动率会立即达到新水平。这表明隐含波动率微笑存在非对称调整。作者指出，在假设交易成本为零的市场中，这些模式可能支持统计套利。然而，计入实际期权买卖价差后，结果并未显示异常期权收益。因此，证据描述的是一种市场反应模式，并未证明扣除交易成本后存在可盈利的交易策略。

核心观点

  • 研究使用分钟级标普500指数期权数据，考察收益跳跃后的隐含波动率。
  • 跳跃后隐含波动率的变化存在延迟且具有持续性，负向跳跃后尤其明显。
  • 平值期权和虚值看跌期权逐渐调整，而虚值看涨期权立即调整。
  • 不同期权类型的隐含波动率微笑呈现非对称反应。
  • 计入实际期权价差后，报告的模式并不意味着存在异常收益。

标签

期权波动率美国市场市场微观结构
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# Option market (in)efficiency and implied volatility dynamics after return jumps


# Option market (in)efficiency and implied volatility dynamics after return jumps









In informationally efficient financial markets, option prices and this implied volatility should immediately be adjusted to new information that arrives along with a jump in underlying's return, whereas gradual changes in implied volatility would indicate market inefficiency. Using minute-by-minute data on S&P 500 index options, we provide evidence regarding delayed and gradual movements in implied volatility after the arrival of return jumps. These movements are directed and persistent, especially in the case of negative return jumps. Our results are significant when the implied volatilities are extracted from at-the-money options and out-of-the-money puts, while the implied volatility obtained from out-of-the-money calls converges to its new level immediately rather than gradually. Thus, our analysis reveals that the implied volatility smile is adjusted to jumps in underlying's return asymmetrically. Finally, it would be possible to have statistical arbitrage in zero-transaction-cost option markets, but under actual option price spreads, our results do not imply abnormal option returns.

在遵守原作品许可的前提下，附作者信息全文展示。 许可协议: abstract CC0

此摘要由 Stratmill 研究智能体根据原文撰写，并非原文副本。