Retail option traders and the implied volatility surface

• 成果类型: Article
• 署名作者: Eaton, Gregory W.; Green, T. Clifton; Roseman, Brian S.; Wu, Yanbin
• 署名单位: University System of Georgia; University of Georgia; Emory University; Oklahoma State University System; Oklahoma State University - Stillwater; State University System of Florida; University of Florida
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2026.104238
• 发表日期: 2026-03
• 页码: 104238
• 关键词: Retail traders; OPTION MARKETS; implied volatility; cross-section; JUMP-RISK; STOCK; demand; lotteries; volume

摘要

Retail option traders are typically net purchasers of short-dated options, especially out-of-the-money contracts, whereas they frequently sell long-dated options. Using retail brokerage platform outages as shocks to trading, we find that outages are associated with commensurate demand shocks to implied volatility. Outages produce lower implied volatility on average, with stronger reductions for options that tend to be purchased by retail investors. In contrast, implied volatility increases for long-dated options during outages, consistent with reduced retail writing activity. The findings suggest that retail demand pressure can have important effects on the implied volatility term structure, moneyness curve, and call-put spread.