Implied-volatility change signal
Compare call and put implied-volatility changes, then test subsequent stock returns.

The idea · in two minutes

Rose first checks whether the two option quotes are comparable

Rose sees two companies but refuses to compare a seven-day out-of-the-money call with a 90-day in-the-money put. She fixes maturity and delta and uses a consistent surface method to estimate comparable ATM implied volatility.

The rule measures the prior month’s IV change. An, Ang, Bali and Cakici report that stocks with larger past call-IV increases tended to have higher subsequent returns, while put-IV sorts showed a different direction in their sample. That evidence can reflect information, risk compensation, supply and demand, or option pricing.

Jack claims rising call IV means a stock will rise. Rose turns that claim into a test: with point-in-time option data, fixed contract definitions and costs, does ranking call and put IV changes predict relative stock returns next period?

• Call IV 變化高分位Assumed next-period return for the high call-IV-change group.
• Put IV 變化高分位Assumed next-period return for the high put-IV-change group.
• Call − put 訊號價差1.4% − (−0.3%) − assumed 0.3% cost = 1.4%; illustrative arithmetic only.

Illustrative research examples only. They are not live signals or a recommendation.

The mechanics · payoff and exposure

Hold maturity and delta definitions constant, measure monthly call/put IV changes and form cross-sectional portfolios.

i denotes a stock and C/P a call/put. A common specification uses roughly 30-day ATM IV (call delta about +0.5 and put delta about −0.5). Studies may rank call changes, put changes or their difference; surface and month-end sampling choices must be stated.

Greeks: the directional intuition

Term

Measures sensitivity to implied volatility.

Delta

Measures first-order sensitivity to the underlying price.

Skew

Measures sensitivity to implied volatility.

Liquidity

Measures sensitivity to implied volatility.

Hold maturity and delta definitions constant, measure monthly call/put IV changes and form cross-sectional portfolios.

Practical context · published observations

Call-IV long / put-IV short: read the record with its caveats.

The chart uses the published figures or explicitly labelled study inputs below. A historical index or model replay is not the same as an investor’s realised account return.

沒有載入 OptionMetrics 合約鏈或點時股票資料。IV 定義、流動性篩選、股票覆蓋、分組和交易延遲均需按原研究重建。 Source ↗ · Methodology ↗