個股選擇權的微笑波動(價外賣權之隱含波動度減去價平買權之隱含波動度)在預測未來標的證券之報酬率時是顯著的。而波動溢酬(價平買權之隱含波動度減去標的證券過去一個月日報酬之標準差)比微笑波動之顯著性更高。不論是否考慮交易成本，利用這兩項變數作為指標來建構交易策略皆可得到正報酬。雖然如此，利用Carhart四因子模型來對交易策略報酬率進行調整時，若考慮交易策略則異常報酬不顯著，而若不考慮交易成本則異常報酬是顯著的。我們認為在標的證券股價下跌之前，價外賣權的隱含波動度會上升，且價平買權的波動度也會上升，但幅度較賣權為低。我們也可以利用波動微笑及波動溢酬來預測未來盈餘公布日的變動盈餘(實際每股盈餘減去預估每股盈餘)。

The volatility smirk of equity option is significant in predicting future underlying stock returns. Volatility premium (difference between at-the-money call implied volatility and the standard deviation of stock previous one month daily returns) has greater power than volatility smirk (difference between the implied volatility of out-of-the money put and the implied volatility of at-the-money call). Using them as the indicator to form a strategy can generate good returns with and without transaction cost. However, the risk adjusted returns by statistically measured by the Carhart four-factor model are positive although they are not significant if we consider transaction cost. We show that the implied volatility of OTM puts will rise before the underlying stock price goes down, and the implied volatility of ATM calls will also rise but to an extent less than OTM puts. Volatility smirk and volatility premium can also be used to predict future earnings surprise (Difference between actual EPS and expected EPS) on EAD (earnings announcement day).

Bakshi, G., Kapadia, N., and Madan, D. (2003). Stock Returns Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options. Review of Financial Studies, 16, 101-143.
Banz, R. W. (1981). The Relation between Return and Market Value of Common Stocks. Journal of Financial Economics, 9, 3-18.
Battalio, R., and Schultz, P. (2006). Options and the Bubble. Journal of Finance, 61, 2071-2102.
Bollen, N. P. B., and Whaley, R. E. (2004). Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? Journal of Finance, 59, 711-753.
Bollerslev, T., Gibson, M., and Zhou, H. (2011). Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities. Journal of Econometrics, 160, 235-245.
Bollerslev, T., Tauchen, G., and Zhou, H. (2009). Expected Stock Returns and Variance Risk Premia. The Review of Financial Studies, 22, 4463-4492.
Boyer, B., Mitton, T., and Vorkink, K. (2010). Expected Idiosyncratic Skewness. The Review of Financial Studies, 23, 169-202.
Carhart, M. M. (1997). On Persistence in Mutual Fund Performance. Journal of Finance, 52, 57-82.
Dennis, P., Mayhew, S., and Stivers, C. (2006). Stock Returns, Implied Volatility Innovations, and the Asymmetric Volatility Phenomenon. Journal of Financial and Quantitative Analysis, 41, 381-406.
Drechsler, I., and Yaron, A. (2011). What's a Vol Got to do With It. The Review of Financial Studies, 24, 1-45.
Dubinsky, A., and Johannes, M. (2006). Earnings Announcements and Equity Options. Working Paper, Columbia University.
Fama, E. F., and French, K. R. (1993). Common Risk Factors in the Returns on Stocks and Bonds. Journal of Financial Economics, 33, 3-56.
Fama, E. F., and French, K. R. (1996). Multifactor Explanation of Asset Pricing Anomalies. Journal of Finance, 51, 55-84.
Hasbrouck, J. (1993). Assessing the Quality of a Security Market: A New Approach to Transaction-Cost Measurement. The Review of Financial Studies, 6, 191-212.
Jegadeesh, N., and Titman, S. (1993). Returns to BuyingWinners and Selling Losers: Implications for Stock Market Efficiency. Journal of Finance, 48, 65-91.
Jiang, G. J., and Tian, Y. S. (2005). The Model-Free Implied Volatility and Its Information Content. The Review of Financial Studies, 18, 1305-1342.
Keim, D. B. (1983). Size-related anomalies and stock return seasonality : Further empirical evidence. Journal of Financial Economics, 12, 13-32.
Lee, C. M. C., and Swaminathan, B. (2000a). Price Momentum and Trading Volume. Journal of Finance, 55, 2017-2069.
Lee, C. M. C., and Swaminathan, B. (2000b). Trading Volume and Cross-Autocorrelations in Stock Returns. Journal of Finance, 55, 913-935.
Ni, S. X., Pan, J., and Poteshman, A. M. (2008). Volatility Information Trading in the Option Market. Journal of Finance, 63, 1059-1091.
O'Brien, M. A., Brailsford, T., and Gaunt, C. (2010). Interaction of size, book-to-market and momentum effects in Australia. Accounting and Finance, 50, 197-219.
Pan, J., and Poteshman, A. M. (2006). The Information in Option Volume for Future Stock Prices. The Review of Financial Studies, 19, 871-908.
Petersen, M. A. (2009). Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches. The Review of Financial Studies, 22, 435-480.
Xing, Y., Zhang, X., and Zhao, R. (2010). What Does the Individual Option Volatility Smirk Tell Us About Future Equity Returns? Journal Of Financial And Quantitative Analysis, 45, 641-662.