We use daily positions of futures market participants to identify informed traders. These data cover the period from 2000 to mid-2009 and contain 8,921 unique traders. We identify between 94 and 230 traders as overnight informed and 91 as intraday informed with little overlap between these two...

We develop statistics to represent the option implied stochastic discount factor for S&P 500 returns between 1990 and 2008. Our statistics, which we call State Prices of Conditional Quantiles (SPOCQ), estimate the market's willingness to pay for insurance against outcomes in various quantiles of...