Volatility information trading in the option market

被引：123

作者：

Ni, Sophie X. ^{[1
]}

Pan, Jun ^{[2
,3
]}

Poteshman, Allen M. ^{[4
]}

机构：

[1] Hong Kong Univ Sci & Technol, Hong Kong, Hong Kong, Peoples R China

[2] MIT, Sloan Sch Management, Cambridge, MA 02139 USA

[3] NBER, Cambridge, MA 02138 USA

[4] Univ Illinois, Urbana, IL 61801 USA

来源：

JOURNAL OF FINANCE | 2008年 / 63卷 / 03期

关键词：

D O I：

10.1111/j.1540-6261.2008.01352.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper investigates informed trading on stock volatility in the option market. We construct non-market maker net demand for volatility from the trading volume of individual equity options and find that this demand is informative about the future realized volatility of underlying stocks. We also find that the impact of volatility demand on option prices is positive. More importantly, the price impact increases by 40% as informational asymmetry about stock volatility intensifies in the days leading up to earnings announcements and diminishes to its normal level soon after the volatility uncertainty is resolved.

引用

页码：1059 / 1091

页数：33

共 50 条

[1] Insider trading, stock return volatility, and the option market's pricing of the information content of insider trading
Chiang, Chin-Han
Chung, Sung Gon
Louis, Henock
[J]. JOURNAL OF BANKING & FINANCE, 2017, 76 : 65 - 73
[2] Dynamic volatility trading strategies in the currency option market
Guo D.
[J]. Review of Derivatives Research, 2000, 4 (2) : 133 - 154
[3] The Effect of Index Option Trading on Stock Market Volatility in China: An Empirical Investigation
Wu, Kai
Liu, Yi
Feng, Weiyang
[J]. JOURNAL OF RISK AND FINANCIAL MANAGEMENT, 2022, 15 (04)
[4] Volatility information trading in the index options market: An intraday analysis
Yang, Heejin
Kutan, Ali M.
Ryu, Doojin
[J]. INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2019, 64 : 412 - 426
[5] Heterogeneous trading of option implied volatility
Li, Xiaoping
Zhou, Chunyang
Huang, Wei
[J]. APPLIED ECONOMICS, 2023, 55 (09) : 990 - 998
[6] INFORMATION, TRADING, AND VOLATILITY
JONES, CM
KAUL, G
LIPSON, ML
[J]. JOURNAL OF FINANCIAL ECONOMICS, 1994, 36 (01) : 127 - 154
[7] Program trading, nonprogram trading, and market volatility
Hogan, KC
Kroner, KF
Sultan, J
[J]. JOURNAL OF FUTURES MARKETS, 1997, 17 (07) : 733 - 756
[8] THE NEW MARKET FOR VOLATILITY TRADING
Zhang, Jin E.
Shu, Jinghong
Brenner, Menachem
[J]. JOURNAL OF FUTURES MARKETS, 2010, 30 (09) : 809 - 833
[9] SOES trading and market volatility
Battalio, RH
Hatch, B
Jennings, R
[J]. JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1997, 32 (02) : 225 - 238
[10] The Role of the Volatility in the Option Market
Arraut, Ivan
Lei, Ka-, I
[J]. APPLIEDMATH, 2023, 3 (04): : 882 - 908

← 1 2 3 4 5 →