We develop statistical methods to detect informed trading in options markets. We apply these methods to 31 companies … tends to cluster prior to certain events, takes place more in put than call options, generates easily large gains exceeding … millions, is not contemporaneously reflected in the underlying stock price, involves around the money options during calm times …

and call options are analyzed for 19 companies in the banking and insurance sectors from January 1996 to September 2009 … activities in put and call options. The realized gains amount to several hundreds of millions of dollars. Several cases are … discussed in detail. options trades, open interest, informed trading, false discovery rate …

theorems of asset pricing. While inferring the risk-neutral measure from options data provides a naturally forward- looking …

verify whether predictions made by prices of binary options traded in information markets are reliable and whether the prices … only. Second, inter- and intraday microstructure of the market of binary options on Dow Jones Industrial Average index is …

We show that options written on stocks with low prices are over-priced. This effect is robust to a variety of tests … corroborate this finding; options tend to become relatively more expensive following stock splits; and options on mini-indices are … overpriced relative to options written on otherwise identical regular-priced indices. Our evidence suggests that (less …

We use a quantile-based measure of conditional skewness (or asymmetry) that is robust to outliers and therefore … varies significantly over time, even after accounting for conditional volatility and unconditional skewness effects … largely be explained by their opposite response to those fundamentals. The economic significance of conditional skewness is …