本研究為探討隱含波動率與S&P 500大盤報酬是否存在領先或落後的關係。結果發現，隱含波動率的差額的確可以預測隔天S&P 500大盤報酬，但僅只能預測隔天，隔兩天後的大盤報酬無法預測。而且實証發現，深層價內的隱含波動率有較高的預測，能預測隔天的大盤報酬。

This paper shows that the net buying pressure (Bollen and Whaley, 2004) on options from institutional investors contain leading information for movements of S&P 500 index. Our results show that implied volatilities of call and put options do not help predict S&P 500 index return on the next trading day. But we find that the difference between implied volatility do help predict underlying index return on next day. We also find greater predictability for index return on next day when implied volatility at deep-in-the-money.

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