Overnight Reversals of Implied Higher Moments and Their Put‐Call Spreads

We examine whether overnight reversals extend beyond spot and option returns to option‐implied higher moments and associated put‐call spreads. Implied moments and their put‐call spreads exhibit significant overnight reversals that are largely independent, with limited spillovers across variables. Reversals in underlying returns and implied volatility are asymmetric, unlike higher moments and put‐call spreads. When examined separately, moments implied by calls and by puts both reverse, interacting to generate reversals in put‐call spreads for all three moments. These findings highlight that overnight reversals in options markets are multidimensional, reflecting contract‐level differences across strikes and option types.