O/S: The relative trading activity in options and stock
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 l...
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| Veröffentlicht in: | Journal of financial economics 2010-04, Vol.96 (1), p.1-17 |
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| container_title | Journal of financial economics |
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| creator | Roll, Richard Schwartz, Eduardo Subrahmanyam, Avanidhar |
| description | 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_str_mv | 10.1016/j.jfineco.2009.11.004 |
| format | Article |
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| fulltext | fulltext |
| identifier | ISSN: 0304-405X |
| ispartof | Journal of financial economics, 2010-04, Vol.96 (1), p.1-17 |
| issn | 0304-405X 1879-2774 |
| language | eng |
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| source | RePEc; ScienceDirect Journals (5 years ago - present) |
| subjects | Derivatives Earnings announcements Forecasts Information Institutions Market analysis Options Options markets Options Stock Trading volume Information Options trading Ratios Securities trading volume Stock Stock exchange Studies Time series Trade volume Trading volume |
| title | O/S: The relative trading activity in options and stock |
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