Truncation—the absence of deep out-of-the-money option price observations—exhibits significant underlying return predictive and forecasting power. Incorporating truncation into S&P500 spot return models improves both in-sample predictive accuracy and out-of-sample forecasting performance. The close relationship between truncation, underlying returns, and option-implied moments offers a potential explanation for its prediction capabilities. Truncation is not merely noise but contains valuable return-predictive information that may systematically influence the performance of implied moment estimates.

中文翻译：

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期权市场截断的信息量


截断 — 缺乏深入的价外期权价格观察 — 显示出强大的潜在回报预测和预测能力。将截断法纳入 S&P500 现货回报率模型可以提高样本内预测准确性和样本外预测性能。截断、标的回报和期权隐含时刻之间的密切关系为其预测能力提供了可能的解释。截断不仅仅是噪声，还包含有价值的回报预测信息，这些信息可能会系统地影响隐含矩估计的性能。