options by anticipated spikes in volatility. Using data on options trades by clientele groups, we show retail investors … abnormal volatility. In doing so, retail investors engage in a trio of wealth-depleting behaviors: they overpay for options … relative to realized volatility, incur enormous bid-ask spreads, and are slow to respond to predictable post …

trading around quarterly earnings announcements is either directionally motivated and/or volatility motivated. We found … volatility-motivated option trading, and our results suggest that this type of option trading could be motivated by hedging …

research on this hypothesis to open-market share repurchases. Empirical tests showed that the implied volatility spread was not … implied volatility spread and subsequent stock return volatility around open-market share repurchase events. We concluded that … option traders have private information on the volatility of stock returns and superior information processing ability that …

Inspired by the theory of social imitation (Weidlich 1970) and its adaptation to financial markets by the Coherent …

along with the specification of (a) the initial density, and (b) the volatility structure of the density. The volatility …

prices, which translates into skew and smile patterns for implied volatility curves even under constant volatilities … the market. collateral requirements, funding costs, volatility smile, option pricing …

This paper examines the relation between firm-level implied volatility skew and the likelihood of extreme negative … events, or crash risk. I show that volatility skew identifies which firms are likely to experience crashes, but only in short …-window earnings announcement periods. The predictive power is incremental to the information in historical volatility, financial …