{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,20]],"date-time":"2026-10-20T03:39:19Z","timestamp":1792467559962,"version":"4.5.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":0,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by-nc-nd\/4.0\/"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>This study introduces a novel option-implied measure, BAVOLS, which is constructed from the bid-ask implied volatility spread of RMB FX options\u2014a distinctive currency derivative in China\u2019s financial market. BAVOLS is designed to capture the relative presence of informed traders who are optimistic about the future USD\/CNY exchange rate versus those with pessimistic expectations. We demonstrate that BAVOLS positively predicts the USD\/CNY spot exchange rate and negatively forecasts China\u2019s macroeconomic conditions across multiple horizons. This pattern is consistent with the negative economic effects of RMB depreciation, manifested primarily through reduced imports and the resulting rise in domestic inflation. Furthermore, we show that a stock\u2019s exposure to BAVOLS (BAVOLS beta) negatively predicts its future returns in the cross-section of the Chinese market. These findings suggest that BAVOLS embodies forward-looking information relevant to both macroeconomic fundamentals and equity pricing. The results are consistent with a rational hedging mechanism, wherein BAVOLS signals potential deterioration in macroeconomic conditions, prompting investors to engage in hedging activities within equity markets. Importantly, the predictive power of BAVOLS is not subsumed by the spot-rate measures or other related option-implied measures, underscoring its incremental information content.<\/jats:p>","DOI":"10.2139\/ssrn.7632178","type":"posted-content","created":{"date-parts":[[2026,10,20]],"date-time":"2026-10-20T02:56:21Z","timestamp":1792464981000},"source":"Crossref","is-referenced-by-count":0,"title":["Information Content of the Bid-Ask Implied Volatility Spread in RMB FX Options: Macroeconomic Forecasting and Asset Pricing Evidence"],"prefix":"10.2139","author":[{"given":"Zhiwei","family":"Xu","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Jiaqi","family":"Li","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Teng","family":"Zhang","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,10,20]],"date-time":"2026-10-20T02:56:21Z","timestamp":1792464981000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=7632178"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":0,"URL":"https:\/\/doi.org\/10.2139\/ssrn.7632178","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}