{"id":"https://openalex.org/W7204558394","doi":"https://doi.org/10.48550/arxiv.2608.26115","title":"Option-Implied Signals and Crash Risk: Predictability and Machine-Learning Evidence from U.S. Equity Options","display_name":"Option-Implied Signals and Crash Risk: Predictability and Machine-Learning Evidence from U.S. Equity Options","publication_year":2026,"publication_date":"2026-06-10","ids":{"openalex":"https://openalex.org/W7204558394","doi":"https://doi.org/10.48550/arxiv.2608.26115"},"language":"en","primary_location":{"id":"pmh:oai:arXiv.org:2608.26115","doi":null,"is_oa":true,"landing_page_url":"https://arxiv.org/abs/2608.26115","pdf_url":"https://arxiv.org/pdf/2608.26115","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},"volume":null,"type":"preprint","is_traditional":true,"indexed_in":["arxiv","datacite"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://arxiv.org/pdf/2608.26115","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5135438539","display_name":"Baichuan Li","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Li, Baichuan","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5134039106","display_name":"Mengxiao Wang","orcid":"https://orcid.org/0009-0006-7436-1054","observed_orcids":["https://orcid.org/0009-0006-7436-1054"]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Wang, Mengxiao","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":true,"cited_by_count":0,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9550999999046326,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9550999999046326,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.019099999219179153,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.01360000018030405,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/implied-volatility","display_name":"implied volatility","score":0.5249999761581421},{"id":"https://openalex.org/keywords/volatility-skew","display_name":"volatility skew","score":0.5690000057220459},{"id":"https://openalex.org/keywords/risk-neutral-skewness","display_name":"risk-neutral skewness","score":0.9359999895095825},{"id":"https://openalex.org/keywords/regime-dependence","display_name":"regime dependence","score":0.48399999737739563},{"id":"https://openalex.org/keywords/xgboost","display_name":"XGBoost","score":0.7020000219345093},{"id":"https://openalex.org/keywords/permutation-feature-importance","display_name":"permutation importance","score":0.8289999961853027},{"id":"https://openalex.org/keywords/equity-options","display_name":"equity options","score":0.45500001311302185}],"concepts":[{"id":"https://openalex.org/C197640229","wikidata":"https://www.wikidata.org/wiki/Q2534066","display_name":"Predictability","level":2,"score":0.8540999889373779},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.7560999989509583},{"id":"https://openalex.org/C199163554","wikidata":"https://www.wikidata.org/wiki/Q1681619","display_name":"Univariate","level":3,"score":0.59170001745224},{"id":"https://openalex.org/C199728807","wikidata":"https://www.wikidata.org/wiki/Q2578557","display_name":"Equity (law)","level":2,"score":0.4961000084877014},{"id":"https://openalex.org/C183469790","wikidata":"https://www.wikidata.org/wiki/Q333501","display_name":"Crash","level":2,"score":0.4758000075817108},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.46320000290870667},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4575999975204468},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.44780001044273376},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.39480000734329224},{"id":"https://openalex.org/C150921843","wikidata":"https://www.wikidata.org/wiki/Q1170431","display_name":"Resampling","level":2,"score":0.39169999957084656},{"id":"https://openalex.org/C122342681","wikidata":"https://www.wikidata.org/wiki/Q330828","display_name":"Skewness","level":2,"score":0.3765999972820282},{"id":"https://openalex.org/C183582576","wikidata":"https://www.wikidata.org/wiki/Q184783","display_name":"Market liquidity","level":2,"score":0.3407000005245209},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.3346000015735626},{"id":"https://openalex.org/C101161028","wikidata":"https://www.wikidata.org/wiki/Q129096","display_name":"Equity premium puzzle","level":3,"score":0.3255000114440918},{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.31610000133514404},{"id":"https://openalex.org/C128263813","wikidata":"https://www.wikidata.org/wiki/Q6588953","display_name":"Forward rate","level":3,"score":0.2892000079154968},{"id":"https://openalex.org/C2780009758","wikidata":"https://www.wikidata.org/wiki/Q6804172","display_name":"Measure (data warehouse)","level":2,"score":0.2856999933719635},{"id":"https://openalex.org/C102366305","wikidata":"https://www.wikidata.org/wiki/Q1097688","display_name":"Nonparametric statistics","level":2,"score":0.27399998903274536},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.2718999981880188},{"id":"https://openalex.org/C163175372","wikidata":"https://www.wikidata.org/wiki/Q3339222","display_name":"Linear model","level":2,"score":0.26840001344680786},{"id":"https://openalex.org/C198531522","wikidata":"https://www.wikidata.org/wiki/Q485146","display_name":"Sample (material)","level":2,"score":0.26600000262260437},{"id":"https://openalex.org/C185798385","wikidata":"https://www.wikidata.org/wiki/Q1161707","display_name":"Benchmark (surveying)","level":2,"score":0.2599000036716461},{"id":"https://openalex.org/C183356978","wikidata":"https://www.wikidata.org/wiki/Q1779213","display_name":"Tracking error","level":3,"score":0.25429999828338623}],"mesh":[],"locations_count":2,"locations":[{"id":"pmh:oai:arXiv.org:2608.26115","doi":null,"is_oa":true,"landing_page_url":"https://arxiv.org/abs/2608.26115","pdf_url":"https://arxiv.org/pdf/2608.26115","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},{"id":"doi:10.48550/arxiv.2608.26115","doi":"https://doi.org/10.48550/arxiv.2608.26115","is_oa":true,"landing_page_url":"https://doi.org/10.48550/arxiv.2608.26115","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"Preprint"}],"best_oa_location":{"id":"pmh:oai:arXiv.org:2608.26115","doi":null,"is_oa":true,"landing_page_url":"https://arxiv.org/abs/2608.26115","pdf_url":"https://arxiv.org/pdf/2608.26115","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W7204558394.pdf","grobid_xml":"https://content.openalex.org/works/W7204558394.grobid-xml"},"referenced_works_count":0,"referenced_works":[],"related_works":["https://openalex.org/W4412007534","https://openalex.org/W4388304302","https://openalex.org/W7220442139","https://openalex.org/W2768095610","https://openalex.org/W2119898701","https://openalex.org/W6903772506","https://openalex.org/W7153125729","https://openalex.org/W3194669907","https://openalex.org/W7112319608","https://openalex.org/W3082182485"],"abstract_inverted_index":{"We":[0,21],"re-estimate":[1],"canonical":[2,81,153,201],"option-implied":[3,181],"predictability":[4,182],"evidence":[5],"using":[6,120],"a":[7,103],"unified":[8],"2015--2026":[9],"panel":[10],"of":[11],"12.36":[12],"million":[13],"U.S.":[14],"equity":[15],"firm-day":[16],"observations":[17],"across":[18,113],"10,026":[19],"underlyings.":[20],"split":[22],"the":[23,48,70,83,93,98,136,157,176,188,195,200],"sample":[24],"into":[25],"three":[26],"regimes:":[27],"late-post-crisis":[28],"low":[29],"volatility":[30],"(2015--2019),":[31],"high-volatility":[32,177],"transition":[33,178],"(2020--2022),":[34],"and":[35,66,88,102,115,124,151,173,187],"AI/mega-cap":[36,137,190],"concentration":[37],"(2023--2026).":[38],"The":[39],"Xing":[40],"et":[41,105],"al.":[42,106],"(2010)":[43],"smirk--return":[44],"relationship":[45],"weakens":[46],"steadily:":[47],"next-month":[49,131],"univariate":[50],"smirk":[51,84],"coefficient":[52],"falls":[53],"from":[54,194],"$-0.023$":[55],"$(t=-5.5)$":[56],"in":[57,64,92,135,168,198],"2015--2019":[58],"to":[59],"an":[60],"insignificant":[61,86],"$-0.006$":[62],"$(t=-1.5)$":[63],"2023--2026,":[65],"turns":[67],"positive":[68],"at":[69],"three-month":[71],"horizon":[72],"$(+0.016,\\":[73],"t=+2.1)$.":[74],"In":[75],"joint":[76],"specifications":[77],"with":[78,139],"all":[79],"six":[80],"signals,":[82],"is":[85,166,183],"throughout":[87],"again":[89],"changes":[90],"sign":[91],"latest":[94],"regime.":[95],"By":[96],"contrast,":[97],"Cremers--Weinbaum":[99],"IV":[100],"spread":[101],"Bakshi":[104],"(2003)-style":[107],"risk-neutral":[108],"skewness":[109],"measure":[110],"remain":[111],"significant":[112],"regimes":[114],"specifications.":[116],"A":[117],"boosted-tree":[118],"benchmark":[119],"IV-surface,":[121],"trading-activity,":[122],"Greeks,":[123],"liquidity":[125],"features":[126],"outperforms":[127],"linear":[128],"models":[129],"for":[130],"return":[132],"prediction":[133],"only":[134],"regime,":[138,150],"$R^2_{\\mathrm{OOS}}=+1.29%$":[140],"versus":[141],"$+0.07%$.":[142],"Permutation":[143],"importance":[144],"identifies":[145],"different":[146],"leading":[147],"predictors":[148],"by":[149],"no":[152],"hand-engineered":[154],"signal":[155],"enters":[156],"top":[158],"five.":[159],"For":[160],"firm-level":[161],"five-day":[162],"crash":[163],"classification,":[164],"AUC":[165],"highest":[167],"calm":[169],"markets":[170],"$(0.706,\\":[171],"\\text{XGBoost})$":[172],"lowest":[174],"during":[175],"$(0.561)$.":[179],"Overall,":[180],"real":[184],"but":[185],"regime-dependent,":[186],"post-2023":[189],"period":[191],"differs":[192],"sharply":[193],"pre-COVID":[196],"setting":[197],"which":[199],"results":[202],"were":[203],"established.":[204]},"counts_by_year":[],"updated_date":"2026-10-28T10:33:24.094632","created_date":"2026-08-29T00:00:00"}
