G. Bernile, F. Gao, J. Hu - Center of Volume Mass: Does Options Trading Predict Stock Returns?
December 17, 2019
We examine whether the distribution of trades along the set of strike prices of option contracts on the same stock contains information about underlying price discovery. We show that option traders’ demand for delta exposure drives the volume-weighted average strike-spot price ratio (VWKS). In turn, we find that VWKS predicts underlying returns and anticipates the flow of fundamental information about the stock. The return predictability is greater but not limited to stocks with higher information asymmetries and arbitrage costs, and becomes stronger ahead of value relevant news.Read More»
OptionMetrics data is an essential component of many studies performed by both academics and practitioners. Below is a partial list of academic papers that used OptionMetrics data:
No Data Found