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

[11] Expected option returns [J].

Coval, JD ;

Shumway, T .

JOURNAL OF FINANCE, 2001, 56 (03) :983-1009

[12]

Cox J., 1985, OPTION MARKETS

[13]

CULUMOVIC L, 1995, J DERIV, V2, P2444

[14]

HEMLER ML, 1997, J FINANCIAL QUANTITA, V63, P7190

[15]

Hull J.C., 2005, Options, Futures, and Other Derivative Securities, V6th

[16]

Kolb R.W., 2003, FUTURES OPTIONS SWAP

[17] HETEROSKEDASTICITY IN STOCK RETURN DATA - VOLUME VERSUS GARCH EFFECTS [J].

LAMOUREUX, CG ;

LASTRAPES, WD .

JOURNAL OF FINANCE, 1990, 45 (01) :221-229

[18] INFERRING TRADE DIRECTION FROM INTRADAY DATA [J].

LEE, CMC ;

READY, MJ .

JOURNAL OF FINANCE, 1991, 46 (02) :733-746

[19]

McDonald R., 2006, Derivatives Markets, V2nd

[20]

McMillan Lawrence G., 2003, Options as a Strategic Investment, VSecond

← 1 2 3 →