In this study we use spectral analysis on SPY (Spiders) options to examine the relation between option spot and implied volatility for this exchange trade fund. We attempt to address the question is there a relation between the option spot and implied volatility or option implied volatility has no relation with the spot exchange trade fund volatility. We find that this relation does exist for SPY at-the-money call and put options and the in-the-money call and out-of-the-money put options. Using two spectral statistics – the coherence and the phase statistics, we find that the SPY option implied volatility and spot volatility have a relation and that the SPY option implied volatility leads the SPY spot volatility.
Stoyu Ivanov. "Analysis of the Relation Between the Spiders Spot and Option Implied Volatility." Faculty Publications (2014).