Overnight Reversals of Implied Higher Moments and Their Put-Call Spreads

초록

We examine whether overnight reversals extend beyond spot and option returns to option-implied higher moments and associated put-call spreads. Implied moments and their put-call spreads exhibit significant overnight reversals that are largely independent, with limited spillovers across variables. Reversals in underlying returns and implied volatility are asymmetric, unlike higher moments and put-call spreads. When examined separately, moments implied by calls and by puts both reverse, interacting to generate reversals in put-call spreads for all three moments. These findings highlight that overnight reversals in options markets are multidimensional, reflecting contract-level differences across strikes and option types.

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