---
title: FX Options Returns Risk Factors
url: https://www.ml-quant.com/papers/repec/oup-revfin-v-28-y-2024-i-3-p-897-944/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: RePEc:oup:revfin:v:28:y:2024:i:3:p:897-944.
source_url: https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Fhdl.handle.net%2F10.1093%2Frof%2Frfae002%3Bh%3Drepec%3Aoup%3Arevfin%3Av%3A28%3Ay%3A2024%3Ai%3A3%3Ap%3A897-944.
featured: 2024-07-24
citations: unknown
topic: Derivatives & Volatility
---


# FX Options Returns Risk Factors

Long-term straddle momentum, implied volatility, and illiquidity are identified as key predictors of cross-sectional foreign exchange options returns.

- Source: https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Fhdl.handle.net%2F10.1093%2Frof%2Frfae002%3Bh%3Drepec%3Aoup%3Arevfin%3Av%3A28%3Ay%3A2024%3Ai%3A3%3Ap%3A897-944.
- Identifier: RePEc:oup:revfin:v:28:y:2024:i:3:p:897-944.
- Released: 2024-07-24
- First featured: Quant Letter No. 58 (2024-07-24): https://www.ml-quant.com/issues/2024-07-24/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Derivatives & Volatility

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