Index Option Trading Activity and Market Returns

• 成果类型: Article
• 署名作者: Chordia, Tarun; Kurov, Alexander; Muravyev, Dmitriy; Subrahmanyam, Avanidhar
• 署名单位: Emory University; West Virginia University; Michigan State University; Nanjing University; University of California System; University of California Los Angeles
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2019.3529
• 发表日期: 2021
• 关键词: index options; Order Flow; INFORMATION; market efficiency

摘要

Do order flows in index derivatives play an informational role? Weekly index put order flow on the International Securities Exchange positively and robustly predicts weekly S&P 500 index returns. This result obtains mainly for net put buying and is stronger in high VIX periods and in periods following macroeconomic announcements. We explore rationales for our findings, which include investor sentiment, the notion that market makers trade on information in options markets, and option-based risk protection strategies used by retail investors. The last explanation accords best with our analysis.