過去的研究發現依照買賣權衡等式做為衡量基礎時，在買賣權相對價格偏離的情況下，隱含著對於標的股票未來報酬率的資訊。在這篇文章中，我們以美國市場的個股選擇權為研究對象，定義出Model-free隱含波動度差異，透過Model-free隱含波動率差異來衡量買賣權價格偏離的程度，研究其對於未來個股報酬率的關係，以及對未來波動度的影響。我們針對較極端的Model-free隱含波動度差異做研究，結果顯示，平均而言，當市場波動度處於相對平穩的階段，Model-free隱含波動度差異對於次日的個股報酬率有顯著的正向關係，而這樣的關係有不對稱的現象，集中在大於零的Model-free隱含波動度差異中；對於未來波動度的關係而言，發現在市場波動情況較高時，Model-free隱含波動度差異對於未來日波動率有正向的關係，顯示Model-free隱含波動度差異的確隱含著對於未來日報酬率及波動率的資訊內涵。 Previous research finds that deviations from put-call parity contain information about future stock returns. In this article, we apply the model-free implied volatility in measuring the difference between pairs of call and put options on individual stocks. We find that model-free implied volatility spread has positive relation with future returns when the stock market is not volatile. Besides, positive volatility spreads are more informative than negative volatility spreads. We also find weak evidence to show positive relation between model-free implied volatility spread and future realized volatility when the stock market is volatile.
