Option market activity

• 成果类型: Article
• 署名作者: Lakonishok, Josef; Lee, Inmoo; Pearson, Neil D.; Poteshman, Allen M.
• 署名单位: University of Illinois System; University of Illinois Urbana-Champaign; National Bureau of Economic Research; Korea University; National University of Singapore
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhl025
• 发表日期: 2007
• 页码: 813
• 关键词: performance; investors; stocks

摘要

This article uses a unique option data set to provide detailed descriptive statistics on the purchased and written open interest and open buy and sell volume of several classes of investors. We also show that volatility trading through straddles and strangles accounts for a small fraction of option trading volume and presents evidence that a large percentage of call writing is part of covered call positions. Finally, we find that during the stock market bubble of the late 1990s and early 2000 the least sophisticated investors in the data set substantially increased their purchases of calls on growth but not value stocks.