Wang Y.-H.Yen K.-C.2019-07-242019-07-24201802707314https://scholars.lib.ntu.edu.tw/handle/123456789/414896We compile option-implied tail loss and gain measures based on a deep out-of-the-money option pricing formula derived by applying ¡§extreme value theory,¡¨ and then use these measures to investigate the information content of option-implied tail risk on the future returns of the underlying assets. Our empirical analysis shows that both tail measures implied by S&P 500 and VIX options can predict future changes in the corresponding underlying assets and are informative on the future returns of the S&P 500 index. The relationships are particularly strong during periods of economic recession and driven by the tail-risk premium. ? 2017 Wiley Periodicals, Inc.extreme value theoryoptionsS&P 500tail measuresVIX[SDGs]SDG8journal article10.1002/fut.218872-s2.0-85033493863https://www.scopus.com/inward/record.uri?eid=2-s2.0-85033493863&doi=10.1002%2ffut.21887&partnerID=40&md5=e68fc4de883c912fd17be105cd92f591