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 …

We build a new class of discrete-time models that are relatively easy to estimate using returns and/or options. The …

Poor's 500 index options illustrates that our model outperforms competing time-varying and stochastic volatility option …

We use tick-by-tick quote data for 39 liquid US stocks and options on them, and we focus on events when the two markets …