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Seasonality in the Option Market

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  • Dickinson, Amy
  • Peterson, David R

Abstract

This study examines call and put option returns from 1983 to 1985 for the presence of a January seasonal effect, a monthly effect, and a day-of-the-week effect. Results indicate the presence of seasonality in call returns, with returns significantly higher in early January and significantly lower on Mondays. Put returns generally exhibit less seasonality, although out-of-the-money put options are significantly lower in January and in-the-money put options are significantly lower in early January. These results are generally consistent with stock return patterns. Copyright 1989 by MIT Press.

Suggested Citation

  • Dickinson, Amy & Peterson, David R, 1989. "Seasonality in the Option Market," The Financial Review, Eastern Finance Association, vol. 24(4), pages 529-540, November.
    • Handle: RePEc:bla:finrev:v:24:y:1989:i:4:p:529-40
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    Cited by:

    1. Theodor Kohers & Jayen B. Patel, 1996. "An examination of the day‐of‐the‐week effect in junk bond returns over business cycles," Review of Financial Economics, John Wiley & Sons, vol. 5(1), pages 31-46, December.
    2. Kohers, Theodor & Patel, Jayen B., 1996. "An examination of the day-of-the-week effect in junk bond returns over business cycles," Review of Financial Economics, Elsevier, vol. 5(1), pages 31-46.

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