The Information in Option Volume for Future Stock Prices
利用独特数据集，发现期权交易量中的看跌看涨比率能预测次日及下周的股票收益，且该预测力源于期权交易者的非公开信息，而非市场无效。
We present strong evidence that option trading volume contains information about future stock prices. Taking advantage of a unique data set, we construct put-call ratios from option volume initiated by buyers to open new positions. Stocks with low put-call ratios outperform stocks with high put-call ratios by more than 40 basis points on the next day and more than 1% over the next week. Partitioning our option signals into components that are publicly and nonpublicly observable, we find that the economic source of this predictability is nonpublic information possessed by option traders rather than market inefficiency. We also find greater predictability for stocks with higher concentrations of informed traders and from option contracts with greater leverage. Copyright 2006, Oxford University Press.