Here is an abstract from a recent NBER paper:
We study short-term market risks implied by weekly S&P 500 index options. The introduction of weekly options has dramatically shifted the maturity profile of traded options over the last five years, with a substantial proportion now having expiry within one week. Economically, this reflects a desire among investors for actively managing their exposure to very short-term risks. Such short-dated options provide an easy and direct way to study market volatility and jump risks. Unlike longer-dated options, they are largely insensitive to the risk of intertemporal shifts in the economic environment, i.e., changes in the investment opportunity set. Adopting a novel general semi-non-parametric approach, we uncover variation in the shape of the negative market jump tail risk which is not spanned by market volatility.
And the conclusion?
Incidents of such tail shape shifts coincide with serious mispricing of standard parametric models for longer-dated options. As such, our approach allows for easy identification of periods of heightened concerns about negative tail events on the market that are not always “signaled” by the level of market volatility and elude standard asset pricing models.
All interesting, but I would be wary of the phrase “easy identification”. Either there really is a serious mispricing of models for longer-dated options, or there are other implied risks being priced in. Monitoring weekly options may be a good addition to market volatility and other measures, there may be additional information at the short-end that apparently VIX does not capture.