NI, SOPHIE X.; PAN, JUN; POTESHMAN, ALLEN M. - In: Journal of Finance 63 (2008) 3, pp. 1059-1091
This paper investigates informed trading on stock volatility in the option market. We construct non-market maker net demand for volatility from the trading volume of individual equity options and find that this demand is informative about the future realized volatility of underlying stocks. We...