Before revision: We study how shocks to the forward-looking expectations of investors buying call and put options transmit across the financial system. We introduce a new contagion measure, called asymmetric fear connectedness (AFC), which captures the information related to "fear" on the two sides of the options market and can be used as a forward-looking systemic risk monitoring tool. The decomposed connectedness measures provide timely predictive information for near-future macroeconomic conditions and uncertainty indicators, and they contain additional valuable information that is not included in the aggregate connectedness measure.
After revision: We study how shocks to the forward-looking measures of the network connectedness of fears in the financial system, arising due to the good and bad beliefs of market participants about uncertainty that spreads unequally across a network of banks. We argue that this asymmetric network structure extracted from call and put traded option prices of the main U.S. banks contains valuable information for predicting macroeconomic conditions and uncertainty indicators, and they contain additional valuable information that is not included in the aggregate connectedness measure.