This paper studies the information inferred from the Carr and Wu’s (2020) formula based on a new option pricing framework in the United States Oil Fund (USO) options. We first document the term structure and dynamics of the risk-neutral variance and covariance rates which lead to a “U”-shaped implied volatility smile with a positive curvature. We then investigate the return predictability of the innovations in the risk-neutral variance and covariance rates ($DRNV$ and $DRNC$) and their term structures ($TRNV$ and $TRNC$) and find that $DRNC$ is a significant and robust predictor to forecast daily, weekly and monthly USO excess returns in both statistical and economic terms based on in-sample and out-of-sample tests.

本文基于美国石油基金 (USO) 期权的新期权定价框架，研究了从 Carr 和 Wu (2020) 公式推断的信息。我们首先记录了风险中性方差和协方差率的期限结构和动态，这导致了具有正曲率的“U”形隐含波动率微笑。然后，我们研究风险中性方差和协方差率创新的回报可预测性（$丁R否V$和$丁R否C$) 及其期限结构 ($吨R否V$和$吨R否C$) 并发现$丁R否C$是一个重要且稳健的预测变量，可根据样本内和样本外测试以统计和经济术语预测每日、每周和每月 USO 超额回报。