Option-implied skewness: Insights from ITM-options
Sign Up to like & getrecommendations! Published in 2021 at "Journal of Economic Dynamics and Control"
DOI: 10.1016/j.jedc.2021.104227
Abstract: Abstract While the standard to calculate model-free option-implied skewness (MFIS) relies on out-of-the-money (OTM) options, we examine the empirical and economic implications of using in-the-money (ITM) options. We find that the positive short-term return predictability… read more here.
Keywords: implied skewness; skewness insights; option; itm options ... See more keywords