Ex-dividend Arbitrage in Option Markets

• 成果类型: Article
• 署名作者: Hao, Jia; Kalay, Avner; Mayhew, Stewart
• 署名单位: Wayne State University; Tel Aviv University; Utah System of Higher Education; University of Utah
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhp038
• 发表日期: 2010
• 页码: 271
• 关键词: CALL OPTIONS; exercise; BEHAVIOR

摘要

We examine the behavior of call options surrounding the underlying stock's ex-dividend date. The evidence is inconsistent with the predictions of a rational exercise policy; a significant fraction of the open interest remains unexercised, resulting in a windfall gain to option writers. This triggers a sophisticated trading scheme that enables short-term traders to receive a significant fraction of the gains. The trading scheme inflates reported volume and distorts its traditional relations to liquidity. The dramatic increases in the volume of trade on the last cum-dividend day are facilitated by limitations on transaction costs passed by the various option exchanges.