Can We Forecast the Implied Volatility Surface Dynamics of Equity Options? Predictability and Economic Value Tests
“We analyze the economic value of such dynamic patterns using strategies that trade straddle and delta-hedged portfolios, and we find that before transaction costs such strategies produce abnormal risk-adjusted returns.”
AssetEquitiesoptions, indices
StrategyOptions strategies
GeographyUS
ClaimExcess return
Also stated: Options-implied, benchmark, costs
Missing from abstract: out-of-sample test, multiple testing, universe
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