This page uses JavaScript to progressively load the article content as a user scrolls. About CBS Interactive Privacy Policy Ad Choice Video Pt. We study the relationship between stock returns and the implied volatility smile slope of call and put options. LINC Options Chain www. Home Articles Selling Calls For Income Selling Puts For Income Top Ideas My Watchlist YieldBoost Ranks. Subscribe to this fee journal for more curated articles on this topic Cookies are used by this site. Add autofilter to Excel and filter data by selection.




We study the relationship between stock returns and the implied volatility smile slope of call and volahility options. Stocks with a steeper put slope earn lower future returns, while stocks with a steeper call slope earn higher future returns. Using dispersion of opinion as a proxy for belief differences, we find that the slope—stock return relation is strongest for stocks with high belief differences.

The idiosyncratic component of the put slope fully explains the negative risk-adjusted stock returns. For the call slope, the idiosyncratic component dominates the systematic one, and explains the positive risk-adjusted returns. Screen reader users, click here to load entire article This page uses JavaScript to progressively load the article content as a user scrolls.

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Sign in optiojs your institution OpenAthens Other institution. JavaScript is disabled on your browser. Please enable JavaScript implied volatility and put options 3 lincoln use all the features on this page. This page uses JavaScript to progressively load the article content as a user scrolls. Click the View full text link to bypass dynamically loaded article content. International Review of Financial Analysis. Abstract We study the relationship between stock returns and the implied volatility smile slope of call and put options.

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Historical vs. Implied Options Volatility


Oct 20,  · LNC) saw new options begin trading today, At Stock Options Channel, The implied volatility in the put contract example is 32%. Lincoln DigitalCommons trade out-of-the-money put options. The smile slope is measured as the difference in the implied volatility between OTM options and. Lincoln University Sirimon of put options influences implied volatility based on the U.K We also excluded options with a calculated implied volatility of.