The stylized fact that volatility is not priced in individual equity options does not withstand scrutiny. First, we show that the average return of heavily traded deep out-of-the-money call options on stocks is −116 basis points per day. Second, Fama-MacBeth estimates of the volatility risk premium in stock options are similar to those in S&P 500 Index call options. Third, the mean return of heavily traded delta-hedged at-the-money calls (puts) is −23 (−30) basis points. Fourth, the variance risk premium in stock options is negative. Our analysis highlights the importance of microstructure biases and robustness in empirical work with options.

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非常嘈杂的期权价格和有关波动性风险溢价的推论


波动性并未在个股期权中定价这一典型事实经不起审查。首先，我们表明，交易量大的股票深度虚值看涨期权的平均回报率为每天 -116 个基点。其次，Fama-MacBeth 对股票期权波动风险溢价的估计与标准普尔 500 指数看涨期权的波动风险溢价类似。第三，交易量大的 Delta 对冲平值看涨期权（看跌期权）的平均回报为 -23 (-30) 个基点。第四，股票期权的方差风险溢价为负。我们的分析强调了微观结构偏差和稳健性在期权实证研究中的重要性。