Journal of Financial Economics Vol. 96 No. 1 2010
O/S: The relative trading activity in options and stock
Abstract
Relatively little is known about the trading volume in derivatives relative to the volume in underlying stocks. We study the time-series properties and the determinants of the options/stock trading volume ratio (O/S) using a comprehensive cross-section and time-series of data on equities and their listed options. O/S is related to many intuitive determinants such as delta and trading costs, and it also varies with institutional holdings, analyst following, and analyst forecast dispersion. O/S is higher around earnings announcements, suggesting increased trading in the options market. Further, post-announcement absolute returns are positively related to pre-announcement O/S, which suggests that at least part of the pre-announcement options trading is informed.
- DOI
- 10.1016/j.jfineco.2009.11.004
- Volume
- 96
- Issue
- 1
- Pages
- 1-17
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref