Do Call Prices and the Underlying Stock Always Move in the Same Direction?
实证分析了一维扩散期权模型的共同性质，发现标普500期权价格常与标的资产价格反向变动，且看涨与看跌期权价格常同涨同跌，表明该类模型与观测数据不完全一致。
This article empirically analyzes some properties shared by all one-dimensional diffusion option models. Using S&P 500 options, we find that sampled intraday (or interday) call (put) prices often go down (up) even as the underlying price goes up, and call and put prices often increase, or decrease, together. Our results are valid after controlling for time decay and market microstructure effects. Therefore one-dimensional diffusion option models cannot be completely consistent with observed option price dynamics; options are not redundant securities, nor ideal hedging instruments—puts and the underlying asset prices may go down together.