Financial market analysis reveals opposing U-shaped relationships between illiquidity and delta-hedged option returns in Chinese markets, highlighting the amplifying role of implied volatility.
Quickly apply original, key PMR-published papers with Snapshots—a short article companion that distills PMR research into compressed, digestible takeaways, so you can put the paper’s core ideas to work in your investment process—fast. This Snapshot article is based on research arguing that option and underlying-asset illiquidity exhibit opposite U-shaped relationships with weekly delta-hedged call and put returns in China, with these nonlinear relationships becoming more pronounced as implied volatility rises.
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Derived from original PMR research written by Nino Antulov-Fantulin and Petter N. Kolm using AI and an editor (2026) studied this question.
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