We model demand-pressure effects on option prices. The model shows that demand
pressure in one option contract increases its price by an amount proportional to the variance …

Deviations from put-call parity contain information about future stock returns. Using the
difference in implied volatility between pairs of call and put options to measure these …

Stocks with large increases in call (put) implied volatilities over the previous month tend to
have high (low) future returns. Sorting stocks ranked into decile portfolios by past call …

We study the cross-section of stock option returns by sorting stocks on the difference
between historical realized volatility and at-the-money implied volatility. We find that a zero …

This paper examines whether investor sentiment about the stock market affects prices of the
S&P 500 options. The findings reveal that the index option volatility smile is steeper (flatter) …

We investigate the relation between the option returns and the underlying stock's lottery-like
characteristics. Call options written on the most lottery-like stocks underperform otherwise …

This paper analyzes how asset prices in a binary market react to information when traders
have heterogeneous prior beliefs. We show that the competitive equilibrium price …

This paper investigates the role of credit and liquidity factors in explaining corporate CDS
price changes during normal and crisis periods. We find that liquidity risk is more important …

Prior research shows that splitting firms earn positive abnormal returns and that they
experience an increase in stock return volatility. By examining option-implied volatility, we …

Successful market timing strategies depend on superior forecasting ability. We use a
sentiment index model, a kitchen sink logistic regression model, and a machine learning …