Option market activity

Option market activity

This article uses a unique option data set to provide detailed descriptive statistics on the purchased and written open interest and open buy and sell volume of several classes of investors. We also show that volatility trading through straddles and strangles accounts for a small fraction of option...

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Veröffentlicht in:The Review of financial studies 2007-05, Vol.20 (3), p.813-858
Hauptverfasser: Lakonishok, Josef, Lee, Inmoo, Pearson, Neil D, Poteshman, Allen M
Format: Artikel
Sprache:eng
Schlagworte:
Capital market
Financial research
Financial speculation
Investors
Market analysis
Options on stocks
Trade volume
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Poteshman, Allen M
description This article uses a unique option data set to provide detailed descriptive statistics on the purchased and written open interest and open buy and sell volume of several classes of investors. We also show that volatility trading through straddles and strangles accounts for a small fraction of option trading volume and presents evidence that a large percentage of call writing is part of covered call positions. Finally, we find that during the stock market bubble of the late 1990s and early 2000 the least sophisticated investors in the data set substantially increased their purchases of calls on growth but not value stocks. Reprinted by permission of Oxford University Press
doi_str_mv 10.1093/rfs/hh1025
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source Business Source Complete; JSTOR Archive Collection A-Z Listing; Oxford University Press Journals All Titles (1996-Current)
subjects Capital market
Financial research
Financial speculation
Investors
Market analysis
Options on stocks
Trade volume
title Option market activity
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