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Statistiche › Opzioni, short e posizionamento › Option skew

The option skew predicted stock returns for ten years and nobody has tested it since

1 week t = 2.93: 10.90%+10.90%1 weekt = 2.934 weeks t = 2.70: 6.52%+6.52%4 weekst = 2.708 weeks t = 3.73: 6.88%+6.88%8 weekst = 3.7312 weeks t = 4.23: 7.14%+7.14%12 weekst = 4.2324 weeks t = 4.33: 7.04%+7.04%24 weekst = 4.33

Annualised Fama-French three factor alpha spread between the lowest and highest skew quintiles, by holding period. January 1996 to December 2005. The effect does not reverse: the t statistic rises with the horizon even as the annualised alpha falls, because longer holding periods average out noise.

Sorting stocks on the gap between out of the money put implied volatility and at the money call implied volatility produced a three factor alpha of 10.90% a year with a t statistic of 2.93. The sample ends in 2005 and no out of sample test was located.

10.90%Three factor alpha spread, lowest minus highest skew, annualised
2.93t statistic on that spread
0.18%Adjusted R squared of the one week predictive regression, no controls
NessunoPublished out of sample tests located

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