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- W3169878916 abstract "We examine options listed on sector ETFs that constitute the S&P 500 and nd evidence of predictability in implied volatilities associated with abnormally high or low implied correlations. We show that sector implied volatilities evolve to maintain stable relations between sector correlation premiums and the correlation premium on the S&P 500. The predictable variation in sector implied volatilities associated with changes in implied correlation forms the basis for pro table trading signals that dominate strategies based directly on sector volatility premiums." @default.
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- W3169878916 date "2021-06-08" @default.
- W3169878916 modified "2023-09-24" @default.
- W3169878916 title "Abnormal Sector Option Correlation Premiums and Predictable Changes in Implied Volatility" @default.
- W3169878916 hasPublicationYear "2021" @default.
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