We present empirical evidence showing that option-implied risk measures (OIRMs) are substantially impacted by bid–ask spreads in underlying options. Asking prices are more sensitive to shocks than bids, leading to highly skewed distributions of spreads. We derive and estimate a model of market making that empirically matches these asymmetric responses as well as the time-series properties of bid–ask spreads. Using these estimates to obtain bias-corrected option quotes, we compute several popular OIRMs. We find that fear and risk premia associated with market events that affect the center of the return distribution or unpredictable return jumps are on average overstated when relying on option mid-quotes, whereas risk associated with return-tail events is larger once the bias has been corrected.

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做市商库存、买卖价差和期权隐含风险度量的计算

我们提供的经验证据表明，期权隐含风险度量 (OIRM) 受到标的期权买卖价差的显着影响。要价比买价对冲击更敏感，导致价差分布高度倾斜。我们推导出并估计了一个做市模型，该模型在经验上与这些不对称响应以及买卖价差的时间序列特性相匹配。使用这些估计来获得偏差校正的期权报价，我们计算了几个流行的 OIRM。我们发现，当依赖期权中间报价时，与影响回报分布中心或不可预测的回报跳跃的市场事件相关的恐惧和风险溢价平均被夸大了，而一旦偏差被消除，与回报尾部事件相关的风险就会更大。更正了。