precision parameter of the DP process is calibrated to the amount of trading activity in deep-out-of-the-money options. We use …

announcements and use at-the-money options to exploit their informational advantage. In the post-event period, however, informed … option investors trade by using deep-out-of-the-money and out-of-the-money options. We documented limited evidence on the …

in deflated price processes is then addressed. Applications include the pricing of options on relativities and the asset …

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 … put options. This result is robust after measuring volatility spreads in alternative ways and controlling for firm …

Which market has leading informational advantage: stocks or options? Using large set of stock and option … predictors of options and stock returns. First, we find that options, rather than stock, characteristics are dominant predictors … of options returns. Second, options, rather than stock, characteristics are also dominant predictors of stock returns …