We develop an econometric method to detect “abnormal trades” in option markets, ie, trades
which are not driven by liquidity motives. Abnormal trades are characterized by unusually …

Recent work considers whether information is simultaneously reflected in both option and
equity markets. We provide new evidence supporting Black's (Financ. Anal. J. 31: 36–72 …

The aim of this paper is to survey a wide range of empirical papers on option markets to
address the extent to which option markets affect price discovery on the spot market. The …

This study examines the role of certain non-price variables, namely open interest and
trading volume, from the stock option market in determining the price of underlying shares in …

Risk is omnipresent, and hedging has been motivated by the desire to reduce risk. An
essential feature of hedging is that the trader synchronizes his/her positions in two markets …

Recent literature reports higher single stock options (SSO) volume before earnings
announcements (EA). There are no studies that explore single stock futures (SSF) in this …

Purpose–The purpose of this paper is to investigate the relationship between option's
implied volatility smirk (IVS) and excess returns in the Germany's leading stock index …

This study empirically investigates the impact of some non-price variables viz., open interest
and trading volume from option market in predicting the price index viz. Nifty Index in …

In this paper, we study the relevance of stock options open interest in conveying information
about the future price movements in the underlying stocks. This investigation has been …

본 연구는 콜/풋옵션 미결제약정금액 비율과 현물시장인 KOSPI 200 수익률 간의선․ 후행 관계
및 양 시장 간의 정보효과를 검증한다. 콜/풋옵션 미결제약정금액비율은 Chen et al.(2005 …