I would like test if there are "crash risk premia" priced into out-of-the-money puts. My initial thought was to create a portfolio with a short positions in (deep) OTM put options and a long position in ATM or less-OTM puts.
If this strategy would yield consistent positive returns, would this indicate that (deep) OTM puts are too expensive and that there is a crash risk premium / disaster insurance priced into them?
Can anyone recommend papers on this topic or papers in general that describe the methodology of option trading strategies? I never really worked on a trading strategy based on options and there still are many small things I need to consider, i. e. when to roll them over or hold them until expiry, ...
Thanks in advance!