Blog
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What W-shaped implied volatility tells us about earnings risk
When the IV smile breaks the U and develops a hump near at-the-money, it's a fingerprint of investor uncertainty about the size of an upcoming jump.
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When one firm reports, the whole industry's options move
Option markets price an industry-wide uncertainty signal at every earnings announcement — and that signal carries information about the next firm scheduled to report.
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Crisis-origin dependence in sector volatility spillovers
Six U.S. equity-market crises with fundamentally different origins produce six different spillover architectures — but the cyclical-defensive divide holds across every regime.
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Does divestment move risk? A null result from Norway's $1.7T fund
Theory says institutional divestment should raise firm-level volatility. 181 exclusions by the world's largest sovereign wealth fund say otherwise — and the bounds on the true effect are very tight.
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