Research
Discover the latest research papers written by OptionMetrics,
our customers, and researchers worldwide leveraging
OptionMetrics data.
P. Neo, C. Tee: “Tail Risk Hedging: The Search for Cheap Options”
We find that a simple heuristic of sorting liquid equity options by dollar price to construct a portfolio of cheap put options leads to a surprisingly robust tail risk hedge - the superior performance holds even when compared against advanced ... Read More
A. Naranjo, M. Nimalendran, and Y. Wu: “Betting on Elusive Returns: Retail Trading in Complex Options”
Retail trading in complex (multi-leg) options has grown significantly following the in- troduction of zero commissions by several brokerage firms. We show that the returns on these complex orders are negative on average (-16.4% over three-day holding periods), and that ... Read More
G. Freire and O. Kleen: “Equity Options and Firm Characteristics”
We study the relation between a comprehensive set of firm characteristics and the entire universe of individual equity option prices. We find that 42 out of 86 characteristics are priced in the option market, in the sense that they significantly ... Read More
G. DeSimone: Demand for Option Order Delta
OptionMetrics’ latest research paper, Demand for Option Order Delta (DOOD), proposes a new options-based metric to estimate demand imbalance for delta by end-users of options. Read the full white paper below to learn more. Download Read More
J. Qu: Is Corporate Governance Priced in the Option Market? Evidence from Shareholder Proposals
By exploiting the local randomness in close-call votes on governance-related shareholder proposals, this paper finds a negative effect of passing a governance proposal on firms’ ex-ante tail risk measured by the cost of option protection against downside tail risks, which ... Read More
P. Mason and S. Utke: Mark-to-Market (or Wealth) Taxation in the U.S.: Evidence from Options
Recent U.S. tax proposals under various names (e.g., wealth taxes, estate tax reform, etc.) center on mark-to-market (MTM) taxation, which eliminates investors’ ability to defer or avoid capital gains taxes. To provide insight on potential effects of these tax proposals, ... Read More
Highlighted Research
Demand for Option Order Delta
By G. DeSimone
June 2, 2022
OptionMetrics’ latest research paper, Demand for Option Order Delta (DOOD), proposes a new options-based metric to estimate demand imbalance for delta by end-users of options. Read the full white paper below to learn more.