all, of the variations in excess kurtosis and multi-period skewness across different markets. …

strike price and expiration date matched put and call options and capture price pressures in the option market. During a two …-day earnings announcement window, the abnormal returns to the quintile that includes stocks with relatively expensive call options … options. This result is robust after measuring volatility spreads in alternative ways and controlling for firm characteristics …

After executing option orders, options market makers turn to the stock market to hedge away the underlying stock … independent of options. The analysis shows that the option-induced imbalance significantly predicts future stock returns in the … cross section controlling for the past stock and options returns, but the imbalance independent of options has only a …

options on the S&P 500 futures expire (pinning) and are pushed away from the cost-of-carry adjusted at-the-money strike price … right before the expiration of options on the S&P 500 index (anti-cross-pinning). These effects are driven by the interplay … (and early exercise) of in-the-money options by individual investors. The associated shift in notional futures value is at …

This article examines trading behavior in the options market conditioned on mispricing in the underlying stock. We … investigate the price equilibrium between the observed equity asset and the options-implied synthetic share as well as the …