spb/wp7_uqo Public

1% =============================================================================2% Author: Simon-Pierre Boucher3% Contact: contact@spboucher.ai4% =============================================================================5% UQO Working Paper No. 76% The Options-Implied Information Content for Cross-Asset Return7% and Volatility Prediction: Evidence from 3.8 Billion Option Contracts8%9% Build: latexmk (see Makefile) — pdflatex + bibtex, references in10%        references.bib, one file per section under sections/.11% =============================================================================12\documentclass[12pt,letterpaper]{article}1314\input{preamble}1516% ============================================================================17% METADATA18% ============================================================================19\newcommand{\WPnumber}{7}20\newcommand{\WPtitle}{The Options-Implied Information Content for Cross-Asset Return and Volatility Prediction: Evidence from 3.8~Billion Option Contracts}21\newcommand{\WPsubtitle}{}22\newcommand{\WPdate}{May 2026}23\newcommand{\WPversion}{1.1}24\newcommand{\WPabstract}{%25This 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.26Option-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 ($t = 19.84$).27Augmenting 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 ($+19.4\%$).28The 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).29Granger 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.30All 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.%31}32\newcommand{\WPkeywords}{Option-implied information, realized volatility, HAR-RV, implied correlation, volatility surface, portfolio sorts, Granger causality, high-frequency data}33\newcommand{\WPjel}{G12, G13, G14, G17, C53, C58}3435% --- Author ---36\newcommand{\WPauthor}{Simon-Pierre Boucher}37\newcommand{\WPaffiliation}{%38  D\'epartement des sciences administratives\\39  Universit\'e du Qu\'ebec en Outaouais%40}41\newcommand{\WPemail}{simon-pierre.boucher@uqo.ca}42\newcommand{\WPaddress}{%43  Gatineau -- Pavillon Alexandre-Tach\'e\\44  283, boulevard Alexandre-Tach\'e\\45  Gatineau, Qu\'ebec, Canada J9A 1L8%46}4748% ============================================================================49% DOCUMENT50% ============================================================================51\begin{document}5253% --- Title Page ---54\input{sections/titlepage}5556% --- Table of Contents ---57\setcounter{page}{1}58\tableofcontents59\newpage6061% --- Main Body ---62\input{sections/introduction}63\input{sections/literature}64\input{sections/data}65\input{sections/methodology}66\input{sections/results}67\input{sections/robustness}68\input{sections/discussion}69\input{sections/conclusion}7071% --- References ---72\newpage73\bibliography{references}7475% --- Appendix ---76\newpage77\appendix78\begin{appendices}79\input{appendix/appendix}80\end{appendices}8182\end{document}83