Standard deviations of the volatility premium, of implied volatility innovations, and of the volatility term structure spread in equity options help explain the cross-section of one-month-ahead underlying stock returns. The explanatory power from standard deviations is robust to the levels of...

We show evidence of a liquidity searching behaviour of informed investors in option listings, which was also found by Collin-Dufresne and Fos (2015) using stock markets. Nevertheless, and differently from Collin-Dufresne and Fos (2015), we find that the option bid-ask spread may be still a good...

We investigate the previously unexplored herding behaviour of investors in option markets, by examining equity option contracts traded in the US between 1996 and 2012. We document strong herding effects in option trading activity that are conditional on a set of systematic factors related to...

Though volume of option trading, specifically in NSE'S NIFTY Index contract, rise significantly over a period of time, it is considered as comparatively complicated due to complexities involve in option. pricing. Volatility in prices play very critical role in option pricing. With help of...

This research project seeks to examine the relationship between momentum, stocks and options trading strategies. First, we examine a simple momentum trading strategy for stocks. These discussions are then extended and applied to options trading. Further, we explore how changes in economic...

The author identifies and explains asymmetric reactions in implied volatility of S&P 500 Index options across the term structure based on news sentiment. The asymmetry of the reaction is more pronounced for fear (proxied by put options) than for greed (proxied by call options). This asymmetry is...

This paper documents that options held from one expiration date to the next achieve significantly lower returns when there are four versus five weeks between expiration dates. The average return differential ranges from 12 basis points per week for delta-hedged put portfolios to 89 basis points...

Conventional financial theory considers ex-ante that risk, generally measured by the volatility, has to be appropriately rewarded by expected returns. In modern financial markets, there are countless quantitative and systematic strategies which may test and eventually lead to excess returns when...

In this paper, we investigate empirically the well-known put-call parity no-arbitrage relation in the presence of short sale restrictions. We use a new and comprehensive sample of options on individual stocks in combination with a measure of the cost and difficulty of short selling, specifically...