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Does information drive trading in option strategies?
16 references·4 citing·40 second hop
Does information drive trading in option strategies? (2010)Does information drive trading in option …“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …Option strategies: Good deals and margin calls (2009)Option strategies: Good deals…Information content of options trading volume for future volatility: Evidence from the Taiwan options market (2009)Information content of option…Volatility Information Trading in the Option Market (2008)Volatility Information Tradin…Option trading and individual investor performance (2008)Option trading and individual…Do informed option investors predict stock returns? Evidence from the Taiwan stock exchange (2008)Do informed option investors …Options, Futures and Other Derivatives (2003)Options, Futures and Other De…Expected Option Returns (2001)Expected Option ReturnsAn Introduction to Derivatives and Risk Management (2000)An Introduction to Derivative…Futures, Options, and Swaps (1994)Futures, Options, and SwapsFutures and Options: Theory and Applications. (1993)Futures and Options: Theory a…Futures and Options: Theory and Applications (1992)Futures and Options: Theory a…Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects (1990)Heteroskedasticity in Stock R…The Box Spread Arbitrage Conditions: Theory, Tests, and Investment Strategies (1989)The Box Spread Arbitrage Cond…The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)The Extreme Value Method for …Informed options trading around holidays (2021)Informed options trading arou…The impact of net buying pressure on index options prices (2020)The impact of net buying pres…Volatility information trading in the index options market: An intraday analysis (2019)Volatility information tradin…Who has volatility information in the index options market? (2018)Who has volatility informatio…The Behavior of Stock-Market Prices (1965)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Chapter 49 Arch models (1994)Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)Idiosyncratic Risk Matters! (2003)Optimum consumption and portfolio rules in a continuous-time model (1971)The Pricing of Options and Corporate Liabilities (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Stock Market Uncertainty and the Stock-Bond Return Relation (2005)Model Specification and Risk Premia: Evidence from Futures Options (2007)Ex Ante Skewness and Expected Stock Returns (2012)Risk, Return, and Equilibrium: Empirical Tests (1973)On Persistence in Mutual Fund Performance (1997)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Financial Advice and Individual Investor Portfolio Performance (2012)How Investor Perceptions Drive Actual Trading and Risk-Taking Behavior (2015)Retail Trading in Options and the Rise of the Big Three Wholesalers (2023)The arbitrage theory of capital asset pricing (1976)Continuous Auctions and Insider Trading (1985)The Cross-Section of Expected Stock Returns (1992)Option Market Activity (2006)Does Anonymity Matter in Electronic Limit Order Markets? (2007)Does option trading convey stock price information? (2013)Judging the Risk of Financial Instruments: Problems and Potential Remedies (2005)Investigating the Performance of Alternative Default-Risk Models: Option-Based Versus Accounting-Based Approaches (2006)On the dynamic links between commodities and Islamic equity (2016)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)Arbitrage Theory in Continuous Time (1998)A critical review on supply chain risk – Definition, measure and modeling (2014)On the Perils of Financial Intermediaries Setting Security Prices: The Mutual Fund Wild Card Option (2001)A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model (2004)Social signals and algorithmic trading of Bitcoin (2015)Theory of Financial Decision Making. (1988)Forecasting Volatility in Financial Markets: A Review (2003)Does Algorithmic Trading Improve Liquidity? (2011)Commonality in liquidity (2000)Is Information Risk a Determinant of Asset Returns? (2002)
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References

  • 2016“Options, Futures, and Other Derivatives”5,007 cited
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  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 1980The Extreme Value Method for Estimating the Variance of the Rate of Return1,946 cited
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  • 2009Information content of options trading volume for future volatility: Evidence from the Taiwan options market

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48 cited

Cited by

  • 2020The impact of net buying pressure on index options prices38 cited
  • 2018Who has volatility information in the index options market?32 cited
  • 2021Informed options trading around holidays28 cited
  • 2019Volatility information trading in the index options market: An intraday analysis27 cited