spb/wp7_uqo

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}{October 2026}23\newcommand{\WPversion}{1.2}24\newcommand{\WPabstract}{%25This paper measures the information content of the implied volatility surface for returns and realized variance in a panel of 69 liquid US underlyings---49 large stocks, 17 ETFs and three equity indices---over 2010--2025, built from 3.83~billion end-of-day option records and 5-minute prices. Option-implied features predict the cross-section of weekly returns in a statistically detectable but economically marginal way: they explain 0.3\% of the variation in 5-day stock returns, 0.6\% for ETFs and 1.0\% for indices; under two-way clustered standard errors only the 25-delta skew remains significant, with a positive sign consistent with compensation for skewness risk; and of fourteen long-short strategies implemented in calendar time with measured turnover, only a sort on the implied volatility level is profitable after a 10 basis-point cost, with a $t$-statistic of 2.2 that does not survive a multiple-testing correction. The surface is more informative about second moments. On a common sample it raises the in-sample $R^2$ of the HAR-RV model from 0.415 to 0.457 for next-day realized variance and from 0.421 to 0.515 for weekly realized variance, in every one of nine subperiods; out of sample the gain is reliable under mean squared error but not under QLIKE, and at the weekly horizon the level of implied volatility alone is the best forecaster under both losses. The ratio of implied to realized correlation among S\&P~500 constituents predicts stress episodes at 5- to 20-day horizons beyond the VIX ($t$ of 2.3--4.1 with overlap-robust standard errors). At-the-money implied volatility Granger-causes realized variance in every ticker, but implied-volatility shocks account for 20--29\% of its 20-day forecast-error variance. Open-interest concentration does not attract the underlying price, and tree-based learners trained on the SPX surface do not beat HAR-RV out of sample. The revision corrects a target-alignment error in the previous version, whose weekly return results are withdrawn.%26}27\newcommand{\WPkeywords}{option-implied information, implied volatility surface, realized variance, HAR-RV, implied correlation, portfolio sorts, transaction costs, Granger causality}28\newcommand{\WPjel}{G12, G13, G14, G17, C53, C58}2930% --- Author ---31\newcommand{\WPauthor}{Simon-Pierre Boucher}32\newcommand{\WPaffiliation}{%33  D\'epartement des sciences administratives\\34  Universit\'e du Qu\'ebec en Outaouais%35}36\newcommand{\WPemail}{simon-pierre.boucher@uqo.ca}37\newcommand{\WPaddress}{%38  Gatineau -- Pavillon Alexandre-Tach\'e\\39  283, boulevard Alexandre-Tach\'e\\40  Gatineau, Qu\'ebec, Canada J9A 1L8%41}4243% ============================================================================44% DOCUMENT45% ============================================================================46\begin{document}4748% --- Title Page ---49\input{sections/titlepage_anon}5051% --- Table of Contents ---52\setcounter{page}{1}53\tableofcontents54\newpage5556% --- Main Body ---57\input{sections/introduction}58\input{sections/literature}59\input{sections/data}60\input{sections/methodology}61\input{sections/results}62\input{sections/robustness}63\input{sections/discussion}64\input{sections/conclusion}6566% --- References ---67\newpage68\bibliography{references}6970% --- Appendix ---71\newpage72\appendix73\begin{appendices}74\input{appendix/appendix}75\end{appendices}7677\end{document}78