Volatility and expected option returns: A note

Published: 29 March 2018

Authors: Mo Chaudhury

Publication: Economics Letter, Vol. 152, March 2017


We show analytically that the relationship between asset volatility and expected option return is ambiguous. Numerical results elaborate how the direction and magnitude of the relationship depend on asset beta and volatility levels, and option moneyness and maturity.

Read article: Economics Letter


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