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% Author: Simon-Pierre Boucher
% Contact: contact@spboucher.ai
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% UQO Working Paper No. 7
% The Options-Implied Information Content for Cross-Asset Return
% and Volatility Prediction: Evidence from 3.8 Billion Option Contracts
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\newcommand{\WPnumber}{7}
\newcommand{\WPtitle}{The Options-Implied Information Content for Cross-Asset Return and Volatility Prediction: Evidence from 3.8~Billion Option Contracts}
\newcommand{\WPsubtitle}{}
\newcommand{\WPdate}{May 2026}
\newcommand{\WPversion}{1.1}
\newcommand{\WPabstract}{%
This paper investigates the information content embedded in equity option markets for predicting returns and realized volatility across multiple asset classes and market regimes. Using 3.83~billion option contracts on 11,077 underlyings (2010--2025) merged with 11.5~billion intraday OHLCV observations across stocks, ETFs, indices, futures, FX, and cryptocurrencies, I address five research questions.
Option-implied moments---particularly implied kurtosis, skewness, and put-call ratios---significantly predict 5-day stock returns; quintile long-short portfolios sorted on implied kurtosis deliver annualized Sharpe ratios of~2.33 ($t = 19.84$).
Augmenting the HAR-RV model with implied volatility surface features improves 1-day realized variance forecasting by 23.3\% in~$R^2$ (0.359 to 0.442), an improvement robust across all subperiods including COVID-19 ($+19.4\%$).
The ratio of implied to realized correlation among S\&P~500 constituents predicts market stress at 5, 10, and 20-day horizons ($t$-statistics: 3.91--8.30).
Granger causality confirms that ATM implied volatility leads realized volatility in 100\% of individual tickers ($F=62.4$), and variance decomposition shows IV shocks explain 73.8\% of RV forecast error variance at the 20-day horizon.
All findings survive Newey-West HAC (up to 22 lags), double-clustered standard errors, subperiod and leave-one-year-out analysis, VIX-regime conditioning, quantile regressions, winsorization sensitivity, rank-based information coefficients, decile sorts, and a within-ticker permutation placebo.%
}
\newcommand{\WPkeywords}{Option-implied information, realized volatility, HAR-RV, implied correlation, volatility surface, portfolio sorts, Granger causality, high-frequency data}
\newcommand{\WPjel}{G12, G13, G14, G17, C53, C58}

% --- Author ---
\newcommand{\WPauthor}{Simon-Pierre Boucher}
\newcommand{\WPaffiliation}{%
  D\'epartement des sciences administratives\\
  Universit\'e du Qu\'ebec en Outaouais%
}
\newcommand{\WPemail}{simon-pierre.boucher@uqo.ca}
\newcommand{\WPaddress}{%
  Gatineau -- Pavillon Alexandre-Tach\'e\\
  283, boulevard Alexandre-Tach\'e\\
  Gatineau, Qu\'ebec, Canada J9A 1L8%
}

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