Title: The Term Structure of Index Option Returns

Speaker: Xiaoyang Zhuo, Assistant Professor, the School of Economics, Beijing Institute of Technology

Time: 10:00-11:30, October 30th, 2026 (Friday)

Venue: Room 1008, Mingde Business Building (Zhongguancun Campus)

Language: Chinese

ABSTRACT:

We compare the term structure of realized index option returns with those implied from option pricing models. While the stochastic volatility risk premium matches one-month option returns well, it cannot fit the returns of long maturity options. The volatility jump risk premium also struggles to fit the term structure of option returns. The price jump risk premium is sufficient to explain the patterns in realized option returns, but its success critically relies on the pricing of jump size variance. Finally, we present novel results on higher moments and Sharpe ratios of index option returns and on conditional expected option returns.