Attention on Volatility and Options
“The relation implies a profitable option trading strategy of purchasing high attention delta-neutral straddles and selling low attention delta-neutral straddles; this strategy earns a significant weekly return of 2.36% and is uncorrelated with common risk factors as well as the firm level variance risk premium.”
AssetEquitiesoptions, single stocks
StrategyOptions strategiesvolatility risk premium
FrequencyWeekly
ClaimProfit
Also stated: Options-implied
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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