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O/S: The relative trading activity in options and stock

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Cited by:

  1. Alasdair Brown & Fuyu Yang, 2017. "The Role of Speculative Trade in Market Efficiency: Evidence from a Betting Exchange," Review of Finance, European Finance Association, vol. 21(2), pages 583-603.
  2. Sangram Keshari Jena & Aviral Kumar Tiwari & Amarnath Mitra, 2019. "Put–Call Ratio Volume vs. Open Interest in Predicting Market Return: A Frequency Domain Rolling Causality Analysis," Economies, MDPI, vol. 7(1), pages 1-10, March.
  3. Pei Peter Lung & Pisun Xu, 2014. "Tipping and Option Trading," Financial Management, Financial Management Association International, vol. 43(3), pages 671-701, September.
  4. Huang, Hong-Gia & Tsai, Wei-Che & Weng, Pei-Shih & Wu, Ming-Hung, 2021. "Volatility of order imbalance of institutional traders and expected asset returns: Evidence from Taiwan," Journal of Financial Markets, Elsevier, vol. 52(C).
  5. Liu, Ming-Yu & Chuang, Wen-I & Lo, Chien-Ling, 2021. "Options-implied information and the momentum cycle," Journal of Financial Markets, Elsevier, vol. 53(C).
  6. George J. Jiang & Guanzhong Pan, 2022. "Speculation or hedging?—Options trading prior to FOMC announcements," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(2), pages 212-230, February.
  7. Mahmoud Delshadi & Mahmoud Hosseinniakani & Zabihollah Rezaee, 2023. "Does options trading deter real activities manipulation?," Review of Quantitative Finance and Accounting, Springer, vol. 61(2), pages 673-699, August.
  8. Doojin Ryu & Heejin Yang, 2018. "The directional information content of options volumes," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(12), pages 1533-1548, December.
  9. Yang, Heejin & Kutan, Ali M. & Ryu, Doojin, 2019. "Volatility information trading in the index options market: An intraday analysis," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 412-426.
  10. Wu, Zekun & Borochin, Paul & Golec, Joseph, 2024. "Informed options trading before FDA drug advisory meetings," Journal of Corporate Finance, Elsevier, vol. 84(C).
  11. Bevilacqua, Mattia & Tunaru, Radu & Vioto, Davide, 2023. "Options-based systemic risk, financial distress, and macroeconomic downturns," LSE Research Online Documents on Economics 119289, London School of Economics and Political Science, LSE Library.
  12. Mengyu Zhang & Thanos Verousis & Iordanis Kalaitzoglou, 2022. "Information and the arrival rate of option trading volume," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(4), pages 605-644, April.
  13. Chen, Zhuo & Lu, Andrea, 2017. "Slow diffusion of information and price momentum in stocks: Evidence from options markets," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 98-108.
  14. Xingguo Luo & Wenye Cai & Doojin Ryu, 2022. "Information contents of intraday SSE 50 ETF options trades," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(4), pages 580-604, April.
  15. Adra, Samer & Barbopoulos, Leonidas G., 2023. "The informational consequences of good and bad mergers," Journal of Corporate Finance, Elsevier, vol. 78(C).
  16. A. Bernales, 2014. "The Effects of Information Asymmetries on the Ex-Post Success of Stock Option Listings," Working papers 495, Banque de France.
  17. Berkowitz, Jason P. & Depken, Craig A. & Gandar, John M., 2015. "Information and accuracy in pricing: Evidence from the NCAA men׳s basketball betting market," Journal of Financial Markets, Elsevier, vol. 25(C), pages 16-32.
  18. Nidhi Aggarwal & Susan Thomas, 2019. "When stock futures dominate price discovery," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(3), pages 263-278, March.
  19. Péter Kondor & Gábor Pintér, 2022. "Clients' Connections: Measuring the Role of Private Information in Decentralized Markets," Journal of Finance, American Finance Association, vol. 77(1), pages 505-544, February.
  20. Delisle, R. Jared & Lee, Bong Soo & Mauck, Nathan, 2012. "The dynamic relation between short sellers, option traders, and aggregate returns," MPRA Paper 42566, University Library of Munich, Germany.
  21. Kelley Bergsma & Andy Fodor & Vijay Singal & Jitendra Tayal, 2020. "Option trading after the opening bell and intraday stock return predictability," Financial Management, Financial Management Association International, vol. 49(3), pages 769-804, September.
  22. Siu Kai Choy & Jason Wei, 2022. "Option trading and returns versus the 52‐week high and low," The Financial Review, Eastern Finance Association, vol. 57(3), pages 691-726, August.
  23. Peter Christoffersen & Ruslan Goyenko & Kris Jacobs & Mehdi Karoui, 2018. "Illiquidity Premia in the Equity Options Market," The Review of Financial Studies, Society for Financial Studies, vol. 31(3), pages 811-851.
  24. Gilstrap, Collin & Petkevich, Alex & Teterin, Pavel, 2020. "Striking up with the in crowd: When option markets and insiders agree," Journal of Banking & Finance, Elsevier, vol. 120(C).
  25. Agyei-Ampomah, Sam & Mazouz, Khelifa, 2011. "The comovement of option listed stocks," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 2056-2069, August.
  26. Do, Viet & Truong, Cameron & Vu, Tram, 2022. "Options listings and loan contract terms: Information versus risk-shifting," Journal of Financial Markets, Elsevier, vol. 58(C).
  27. Roll, Richard & Schwartz, Eduardo & Subrahmanyam, Avanidhar, 2014. "Trading activity in the equity market and its contingent claims: An empirical investigation," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 13-35.
  28. Rourke, Thomas, 2014. "The delta- and vega-related information content of near-the-money option market trading activity," Journal of Financial Markets, Elsevier, vol. 20(C), pages 175-193.
  29. Zhou, Yi, 2022. "Option trading volume by moneyness, firm fundamentals, and expected stock returns," Journal of Financial Markets, Elsevier, vol. 58(C).
  30. Travis L. Johnson & Eric C. So, 2018. "A Simple Multimarket Measure of Information Asymmetry," Management Science, INFORMS, vol. 64(3), pages 1055-1080, March.
  31. Jonathan A. Milian, 2015. "Unsophisticated Arbitrageurs and Market Efficiency: Overreacting to a History of Underreaction?," Journal of Accounting Research, Wiley Blackwell, vol. 53(1), pages 175-220, March.
  32. Sonali Jain & Sobhesh Kumar Agarwalla & Jayanth R. Varma & Ajay Pandey, 2019. "Informed trading around earnings announcements—Spot, futures, or options?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(5), pages 579-589, May.
  33. Han-Ching Huang & Chien-Sheng Wen, 2021. "The Performance of Trading Strategies Based on Deviations from Put-Call Parity of Stock Options," Advances in Management and Applied Economics, SCIENPRESS Ltd, vol. 11(2), pages 1-3.
  34. Chan, Konan & Li, Fengfei & Lin, Ji-Chai & Lin, Tse-Chun, 2017. "What do stock price levels tell us about the firms?," Journal of Corporate Finance, Elsevier, vol. 46(C), pages 34-50.
  35. Sung Won Seo & Suk Joon Byun & Jun Sik Kim, 2020. "Index options open interest and stock market returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(6), pages 989-1010, June.
  36. Yi‐Wei Chuang & Wei‐Che Tsai & Ming‐Hung Wu, 2020. "The impact of net buying pressure on VIX option prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(2), pages 209-227, February.
  37. Johnson, Travis L. & So, Eric C., 2012. "The option to stock volume ratio and future returns," Journal of Financial Economics, Elsevier, vol. 106(2), pages 262-286.
  38. Daniel Cahill & Kingsley Fong & Marvin Wee & Joey Wenling Yang, 2020. "The role of implied volatility in liquidity provision," Australian Journal of Management, Australian School of Business, vol. 45(1), pages 45-71, February.
  39. Robert Jarrow & Scott Fung & Shih-Chuan Tsai, 2018. "An empirical investigation of large trader market manipulation in derivatives markets," Review of Derivatives Research, Springer, vol. 21(3), pages 331-374, October.
  40. Jongho Kang & Jangkoo Kang & Jaeram Lee, 2022. "Who and what drives informed options trading after the market opens?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(3), pages 338-364, March.
  41. Brian Du, 2019. "Relative option liquidity and price efficiency," Review of Quantitative Finance and Accounting, Springer, vol. 52(4), pages 1119-1135, May.
  42. Sheng, Hainan, 2022. "Option measures and stock characteristics," Finance Research Letters, Elsevier, vol. 44(C).
  43. Ersan, Oguz & Simsir, Serif Aziz & Simsek, Koray D. & Hasan, Afan, 2021. "The speed of stock price adjustment to corporate announcements: Insights from Turkey," Emerging Markets Review, Elsevier, vol. 47(C).
  44. Entrop, Oliver & Fischer, Georg, 2019. "Hedging costs and joint determinants of premiums and spreads in structured financial products," Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe B-34-19, University of Passau, Faculty of Business and Economics.
  45. Lee, Yen-Hsien & Wang, David K., 2016. "Information content of investor trading behavior: Evidence from Taiwan index options market," Pacific-Basin Finance Journal, Elsevier, vol. 38(C), pages 149-160.
  46. Mohrschladt, Hannes & Schneider, Judith C., 2021. "Option-implied skewness: Insights from ITM-options," Journal of Economic Dynamics and Control, Elsevier, vol. 131(C).
  47. Suresh Govindaraj & Yubin Li & Chen Zhao, 2020. "The effect of option transaction costs on informed trading in the options market around earnings announcements," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 47(5-6), pages 615-644, May.
  48. Choy, Siu Kai & Wei, Jason, 2012. "Option trading: Information or differences of opinion?," Journal of Banking & Finance, Elsevier, vol. 36(8), pages 2299-2322.
  49. Bevilacqua, Mattia & Tunaru, Radu & Vioto, Davide, 2023. "Options-based systemic risk, financial distress, and macroeconomic downturns," Journal of Financial Markets, Elsevier, vol. 65(C).
  50. Xingguo Luo & Xiaoli Yu & Shihua Qin & Qi Xu, 2020. "Option trading and the cross‐listed stock returns: Evidence from Chinese A–H shares," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(11), pages 1665-1690, November.
  51. Liu, Dehong & Qiu, Qi & Hughen, J. Christopher & Lung, Peter, 2019. "Price discovery in the price disagreement between equity and option markets: Evidence from SSE ETF50 options of China," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 557-571.
  52. Ryu, Doojin & Yang, Heejin, 2019. "Who has volatility information in the index options market?," Finance Research Letters, Elsevier, vol. 30(C), pages 266-270.
  53. Hayunga, Darren K. & Holowczak, Richard D. & Lung, Peter P. & Nishikawa, Takeshi, 2012. "Derivatives traders’ reaction to mispricing in the underlying equity," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2438-2454.
  54. Blau, Benjamin M. & Nguyen, Nga & Whitby, Ryan J., 2014. "The information content of option ratios," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 179-187.
  55. Scott Fung & Robert Loveland, 2020. "When do informed traders acquire and trade on informational advantage? Evidence from Federal Reserve stress tests," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(10), pages 1459-1485, October.
  56. Doojin Ryu & Doowon Ryu & Heejin Yang, 2021. "The impact of net buying pressure on index options prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(1), pages 27-45, January.
  57. Chen Gu & Xu Guo & Alexander Kurov & Raluca Stan, 2022. "The information content of the volatility index options trading volume," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(9), pages 1721-1737, September.
  58. Yangyang Chen & Jeffrey Ng & Xin Yang, 2021. "Talk Less, Learn More: Strategic Disclosure in Response to Managerial Learning from the Options Market," Journal of Accounting Research, Wiley Blackwell, vol. 59(5), pages 1609-1649, December.
  59. Oliver Entrop & Georg Fischer, 2020. "Hedging costs and joint determinants of premiums and spreads in structured financial products," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(7), pages 1049-1071, July.
  60. Nikolas Michael & Mihai Cucuringu & Sam Howison, 2022. "Option Volume Imbalance as a predictor for equity market returns," Papers 2201.09319, arXiv.org.
  61. Vortelinos, Dimitrios I., 2014. "Non-parametric analysis of equity arbitrage," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 199-216.
  62. Bevilacqua, Mattia & Tunaru, Radu & Vioto, Davide, 2020. "Options-based systemic risk, financial distress, and macroeconomic downturns," LSE Research Online Documents on Economics 118850, London School of Economics and Political Science, LSE Library.
  63. Liu, Mengxi (Maggie) & Chan, Kam Fong & Faff, Robert, 2022. "What can we learn from firm-level jump-induced tail risk around earnings announcements?," Journal of Banking & Finance, Elsevier, vol. 138(C).
  64. Chichernea, Doina & Huang, Kershen & Petkevich, Alex & Teterin, Pavel, 2024. "Options trading imbalance, cash-flow news, and discount-rate news," Journal of Empirical Finance, Elsevier, vol. 77(C).
  65. George D. Cashman & David M. Harrison & Hainan Sheng, 2021. "Option Trading and REIT Returns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 49(1), pages 332-389, March.
  66. Paulo Silva, 2015. "The information content of the open interest of credit default swaps," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 29(4), pages 381-427, November.
  67. Patrick Augustin & Menachem Brenner & Marti G. Subrahmanyam, 2019. "Informed Options Trading Prior to Takeover Announcements: Insider Trading?," Management Science, INFORMS, vol. 65(12), pages 5697-5720, December.
  68. Da‐Hea Kim, 2022. "Investment horizon and option market activity," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(5), pages 923-958, May.
  69. Ihsan Badshah & Hardjo Koerniadi & James Kolari, 2021. "The Sarbanes‐Oxley act and informed trading in the options market: Evidence from share repurchase announcements," International Review of Finance, International Review of Finance Ltd., vol. 21(2), pages 645-652, June.
  70. Hatheway, Frank & Kwan, Amy & Zheng, Hui, 2017. "An Empirical Analysis of Market Segmentation on U.S. Equity Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(6), pages 2399-2427, December.
  71. Li Cai & Jian Du, 2018. "Excess returns to buying low options‐volume stocks and selling high options‐volume stocks: Information or characteristics?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(12), pages 1487-1513, December.
  72. Chin‐Ho Chen, 2021. "Investor sentiment, misreaction, and the skewness‐return relationship," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(9), pages 1427-1455, September.
  73. Hsieh, Wen-liang G. & He, Huei-Ru, 2014. "Informed trading, trading strategies and the information content of trading volume: Evidence from the Taiwan index options market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 31(C), pages 187-215.
  74. Czech, Robert & Della Corte, Pasquale & Huang, Shiyang & Wang, Tianyu, 2022. "FX option volume," Bank of England working papers 964, Bank of England.
  75. R. Jared DeLisle & Bong Soo Lee & Nathan Mauck, 2016. "The dynamic relation between options trading, short selling, and aggregate stock returns," Review of Quantitative Finance and Accounting, Springer, vol. 47(3), pages 645-671, October.
  76. Soebhag, Amar, 2023. "Option gamma and stock returns," Journal of Empirical Finance, Elsevier, vol. 74(C).
  77. Han-Ching Huang & Bo-Sheng Wu, 2020. "The Performance of Trading Strategies based on the Ratio of Option and Stock Volume," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 10(4), pages 1-9.
  78. Grundy, Bruce D. & Lim, Bryan & Verwijmeren, Patrick, 2012. "Do option markets undo restrictions on short sales? Evidence from the 2008 short-sale ban," Journal of Financial Economics, Elsevier, vol. 106(2), pages 331-348.
  79. Lin, Tse-Chun & Lu, Xiaolong, 2015. "Why do options prices predict stock returns? Evidence from analyst tipping," Journal of Banking & Finance, Elsevier, vol. 52(C), pages 17-28.
  80. Staer, Arsenio & Sottile, Pedro, 2018. "Equivalent volume and comovement," The Quarterly Review of Economics and Finance, Elsevier, vol. 68(C), pages 143-157.
  81. Blanco, Iván & García, Sergio J., 2021. "Options trading and the cost of debt," Journal of Corporate Finance, Elsevier, vol. 69(C).
  82. Lee, Jaeram & Ryu, Doojin & Yang, Heejin, 2021. "Does vega-neutral options trading contain information?," Journal of Empirical Finance, Elsevier, vol. 62(C), pages 294-314.
  83. Bali, Turan G. & Beckmeyer, Heiner & Moerke, Mathis & Weigert, Florian, 2021. "Option return predictability with machine learning and big data," CFR Working Papers 21-08, University of Cologne, Centre for Financial Research (CFR).
  84. Jun Zhang, 2019. "Is options trading informed? Evidence from credit rating change announcements," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(9), pages 1085-1106, September.
  85. Doojin Ryu & Jinyoung Yu, 2021. "Informed options trading around holidays," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(5), pages 658-685, May.
  86. Zhou, Yaping & Lu, Baoqun & Lv, Dayong & Ruan, Qingsong, 2019. "The informativeness of options-trading activities: Non-linear analysis based on MF-DCCA and Granger test," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
  87. Hao, Xiaoting & Lee, Eunju & Piqueira, Natalia, 2013. "Short sales and put options: Where is the bad news first traded?," Journal of Financial Markets, Elsevier, vol. 16(2), pages 308-330.
  88. Han‐Sheng Chen & Sanjiv Sabherwal, 2019. "Overconfidence among option traders," Review of Financial Economics, John Wiley & Sons, vol. 37(1), pages 61-91, January.
  89. Podolski, Edward J. & Truong, Cameron & Veeraraghavan, Madhu, 2013. "Informed options trading prior to takeovers – Does the regulatory environment matter?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 27(C), pages 286-305.
  90. Kaplanski, Guy & Levy, Haim, 2015. "Trading breaks and asymmetric information: The option markets," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 390-404.
  91. Stivers, Chris & Sun, Licheng, 2013. "Returns and option activity over the option-expiration week for S&P 100 stocks," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4226-4240.
  92. Luis Goncalves-Pinto & Bruce D. Grundy & Allaudeen Hameed & Thijs van der Heijden & Yichao Zhu, 2020. "Why Do Option Prices Predict Stock Returns? The Role of Price Pressure in the Stock Market," Management Science, INFORMS, vol. 66(9), pages 3903-3926, September.
  93. Emiliano Pagnotta, 2016. "Chasing Private Information," 2016 Meeting Papers 1673, Society for Economic Dynamics.
  94. Augustin, Patrick & Brenner, Menachem & Grass, Gunnar & Orłowski, Piotr & Subrahmanyam, Marti G., 2023. "Informed options strategies before corporate events," Journal of Financial Markets, Elsevier, vol. 63(C).
  95. Siu Kai Choy & Jason Wei, 2023. "Investor Attention and Option Returns," Management Science, INFORMS, vol. 69(8), pages 4845-4863, August.
  96. Jun Zhang, 2018. "Informed Options Trading Prior to Dividend Change Announcements," Financial Management, Financial Management Association International, vol. 47(1), pages 81-103, March.
  97. Chen, Sipeng & Li, Gang, 2023. "Why does option-implied volatility forecast realized volatility? Evidence from news events," Journal of Banking & Finance, Elsevier, vol. 156(C).
  98. Bernales, Alejandro, 2017. "The success of option listings," Journal of Empirical Finance, Elsevier, vol. 40(C), pages 139-161.
  99. Przemysław S. Stilger & Alexandros Kostakis & Ser-Huang Poon, 2017. "What Does Risk-Neutral Skewness Tell Us About Future Stock Returns?," Management Science, INFORMS, vol. 63(6), pages 1814-1834, June.
  100. Park, Yang-Ho, 2020. "Variance disparity and market frictions," Journal of Econometrics, Elsevier, vol. 214(2), pages 326-348.
  101. Jian Chen & Yangshu Liu, 2020. "Bid and ask prices of index put options: Which predicts the underlying stock returns?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(9), pages 1337-1353, September.
  102. Tsai, I-Chun, 2014. "Ripple effect in house prices and trading volume in the UK housing market: New viewpoint and evidence," Economic Modelling, Elsevier, vol. 40(C), pages 68-75.
  103. Du, Brian & Fung, Scott, 2018. "Directional information effects of options trading: Evidence from the banking industry," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 56(C), pages 149-168.
  104. Alejandro Bernales & Thanos Verousis & Nikolaos Voukelatos & Mengyu Zhang, 2020. "What do we know about individual equity options?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(1), pages 67-91, January.
  105. Nikolaos Voukelatos & Thanos Verousis, 2019. "Option‐implied information and stock herding," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 24(4), pages 1429-1442, October.
  106. Aziz Simsir, Serif & Simsek, Koray D., 2022. "The market impact of private information before corporate Announcements: Evidence from Turkey," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
  107. Kelley Bergsma & Vivien Csapi & Dean Diavatopoulos & Andy Fodor, 2020. "Show me the money: Option moneyness concentration and future stock returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(5), pages 761-775, May.
  108. Bing Han & Gang Li, 2021. "Information Content of Aggregate Implied Volatility Spread," Management Science, INFORMS, vol. 67(2), pages 1249-1269, February.
  109. Michael Lemmon & Sophie Xiaoyan Ni, 2014. "Differences in Trading and Pricing Between Stock and Index Options," Management Science, INFORMS, vol. 60(8), pages 1985-2001, August.
  110. Choy, Siu Kai & Wei, Jason, 2020. "Liquidity risk and expected option returns," Journal of Banking & Finance, Elsevier, vol. 111(C).
  111. Tarun Chordia & Jianfeng Hu & Avanidhar Subrahmanyam & Qing Tong, 2019. "Order Flow Volatility and Equity Costs of Capital," Management Science, INFORMS, vol. 65(4), pages 1520-1551, April.
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