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Droplet
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Joined: June 20th, 2004, 7:42 pm

Option-implied Data and Analysis

October 18th, 2020, 9:16 pm

Check it out -- a new OSF data collection of option-implied variables based on several published/ working papers: implied betas, implied correlations, generalized lower bounds for expected excess simple returns, and model-free implied skewness. Very useful if one wants to replicate papers in question! 

Link to OSF: https://osf.io/z2486/
DOI 10.17605/OSF.IO/Z2486

Papers covered: 
1. Buss, Adrian, and Vilkov, Grigory, 2012, Measuring Equity Risk with Option-implied CorrelationsThe Review of Financial Studies, 25(10), 3113–3140. DOI: https://doi.org/10.1093/rfs/hhs087 
2. Chabi-Yo, Fousseni, Dim, Chukwuma, and Vilkov, Grigory, 2020, Generalized Bounds on the Conditional Expected Excess Return on Individual Stocks. Available at SSRN: http://dx.doi.org/10.2139/ssrn.3565130
3. Driessen, Joost, Maenhout, Pascal J., and Vilkov, Grigory, 2005, Option-Implied Correlations and the Price of Correlation Risk, Advanced Risk & Portfolio Management Paper, http://dx.doi.org/10.2139/ssrn.2166829
4. Driessen, Joost, Maenhout, Pascal J. and Vilkov, Grigory, 2009, The Price of Correlation Risk: Evidence from Equity Options, Journal of Finance, https://doi.org/10.1111/j.1540-6261.2009.01467.x
5. Rehman, Zahid, and Vilkov, Grigory, 2012, Risk-Neutral Skewness: Return Predictability and Its Sources. Available at SSRN: http://dx.doi.org/10.2139/ssrn.1301648
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