Who Profits from Trading Options?

• 成果类型: Article
• 署名作者: Hu, Jianfeng; Kirilova, Antonia; Park, Seongkyu (Gilbert); Ryu, Doojin
• 署名单位: Singapore Management University; CUNEF Universidad; Willamette University; Sungkyunkwan University (SKKU)
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2023.4916
• 发表日期: 2024
• 页码: 4742-4761
• 关键词: options; institutional investors; RETAIL INVESTORS; trading styles; volatility

摘要

We use account-level transaction data to examine trading styles and profitability in a leading derivatives market. Approximately 66% of active retail investors predominantly hold simple, one-sided positions in only one class of options, whereas institutional investors are more likely to use complex strategies. Hypothesizing that the complexity of trading styles reflects investors' skills, we examine the effect of options trading styles on investment performance. We find that retail investors using simple strategies lose to the rest of the market. For both retail and institutional investors, selling volatility is the most successful strategy. We conclude that these style effects are persistent and cannot be fully explained by systematic risk exposure.