Does information drive trading in option strategies?

被引：23

作者：

Fahlenbrach, Ruediger ^{[2
]}

Sandas, Patrik ^{[1
]}

机构：

[1] Univ Virginia, McIntire Sch Commerce, Charlottesville, VA 22904 USA

[2] Ecole Polytech Fed Lausanne, UNIL Quartier Dorigny, CH-1015 Lausanne, Switzerland

来源：

JOURNAL OF BANKING & FINANCE | 2010年 / 34卷 / 10期

关键词：

Option strategies; Option spreads; Option combinations; Volatility trading;

D O I：

10.1016/j.jbankfin.2010.02.027

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We study trading in option strategies in the FTSE-100 index market. Trades in option strategies represent around 37% of the total number of trades and over 75% of the total trading volume in our sample. We find some evidence that order flow in volatility-sensitive option strategies contains information about future realized volatility. We do not find evidence that order flow in directionally-sensitive option strategies contains information about future returns. Overall, our evidence suggests that option strategies are used both by traders who possess non-public information about future volatility and by uninformed speculators who appear to follow unprofitable trend chasing strategies. (C) 2010 Elsevier B.V. All rights reserved.

引用

页码：2370 / 2385

页数：16

共 27 条

[1] Option trading and individual investor performance [J].

Bauer, Rob ;

Cosemans, Mathijs ;

Eichholtz, Piet .

JOURNAL OF BANKING & FINANCE, 2009, 33 (04) :731-746

[2] The dynamics of the volatility skew: A Kalman filter approach [J].

Bedendo, Mascia ;

Hodges, Stewart D. .

JOURNAL OF BANKING & FINANCE, 2009, 33 (06) :1156-1165

[3]

Bookstaber R., 1991, OPTION PRICING INVES, VThird

[4]

CHANCE DM, 1998, INTRO DERIVATIVES RI

[5] Information content of options trading volume for future volatility: Evidence from the Taiwan options market [J].

Chang, Chuang-Chang ;

Hsieh, Pei-Fang ;

Wang, Yaw-Huei .

JOURNAL OF BANKING & FINANCE, 2010, 34 (01) :174-183

[6] Do informed option investors predict stock returns? Evidence from the Taiwan stock exchange [J].

Chang, Chuang-Chang ;

Hsieh, Pei-Fang ;

Lai, Hung-Neng .

JOURNAL OF BANKING & FINANCE, 2009, 33 (04) :757-764

[7] Ratio spreads [J].

Chaput, J. Scott ;

Ederington, Louis H. .

JOURNAL OF DERIVATIVES, 2008, 15 (03) :41-57

[8] Volatility trade design [J].

Chaput, JS ;

Ederington, LH .

JOURNAL OF FUTURES MARKETS, 2005, 25 (03) :243-279

[9]

CHAPUT JS, 2005, J DERIV, V12, P28

[10]

Chaput S, 2003, J DERIV, V10, P72

← 1 2 3 →