郭彪,Shi Yukun,Xu Yaofei——QUANTITATIVE FINANCE:Volatility information difference between CDS, options, and the cross section of options returns
时间:2020-12-01
We examine the difference in the information content in credit and options markets by extracting volatilities from corporate credit default swaps (CDSs) and equity options. The standardized difference in volatility, quantified as the volatility spread, is positively related to future option returns. We rank firms based on the volatility spread and analyze the returns for straddle portfolios buying both a put and a call option for the underlying firm with the same strike price and expiration date