O/S: The relative trading activity in options and stock

• 成果类型: Article
• 署名作者: Roll, Richard; Schwartz, Eduardo; Subrahmanyam, Avanidhar
• 署名单位: University of California System; University of California Los Angeles
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2009.11.004
• 发表日期: 2010
• 页码: 1-17
• 关键词: options; STOCK; trading volume; INFORMATION

摘要

Relatively little is known about the trading volume in derivatives relative to the volume in underlying stocks. We study the time-series properties and the determinants of the options/stock trading volume ratio (O/S) using a comprehensive cross-section and time-series of data on equities and their listed options. O/S is related to many intuitive determinants such as delta and trading costs, and it also varies with institutional holdings, analyst following, and analyst forecast dispersion. O/S is higher around earnings announcements, suggesting increased trading in the options market. Further, post-announcement absolute returns are positively related to pre-announcement O/S, which suggests that at least part of the pre-announcement options trading is informed. (C) 2009 Elsevier B.V. All rights reserved.