Does information drive trading in option strategies?

被引：22

作者：

Fahlenbrach, Ruediger ^{[2
]}

Sandas, Patrik ^{[1
]}

机构：

[1] Univ Virginia, McIntire Sch Commerce, Charlottesville, VA 22904 USA

[2] Ecole Polytech Fed Lausanne, UNIL Quartier Dorigny, CH-1015 Lausanne, Switzerland

来源：

JOURNAL OF BANKING & FINANCE | 2010年 / 34卷 / 10期

关键词：

Option strategies; Option spreads; Option combinations; Volatility trading;

D O I：

10.1016/j.jbankfin.2010.02.027

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We study trading in option strategies in the FTSE-100 index market. Trades in option strategies represent around 37% of the total number of trades and over 75% of the total trading volume in our sample. We find some evidence that order flow in volatility-sensitive option strategies contains information about future realized volatility. We do not find evidence that order flow in directionally-sensitive option strategies contains information about future returns. Overall, our evidence suggests that option strategies are used both by traders who possess non-public information about future volatility and by uninformed speculators who appear to follow unprofitable trend chasing strategies. (C) 2010 Elsevier B.V. All rights reserved.

引用

页码：2370 / 2385

页数：16

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