Option Implied Measures of Short-Horizon Downside Tail Risk. The computed tail measures include: estimates of return volatility generated by the left tail of the one-week risk-neutral return distribution, obtained from short-dated out-of-the-money put options, and the corresponding probability of a 10% left tail event over the given week.

Option Implied Measures of Spot Volatility. The computed volatility series, based on portfolios of short-dated near-the-money options, are estimates of the spot diffusive volatility of the underlying asset. It purges the effect of jumps and jump compensation embedded in the usual measures of risk-netrual return variation.