Options and earnings announcements: an empirical study of volatility, trading volume, open interest and liquidity
研究盈利公告对股票期权市场隐含波动率、交易量、未平仓合约和价差的影响，发现公告前隐含波动率上升、交易量增加，公告后回落，有效价差在公告日及之后两天扩大。
In this paper we study the impact of earnings announcements on implied volatility, trading volume, open interest and spreads in the stock options market. We find that implied volatility increases before announcement days and drops afterwards. Also option trading volume is higher around announcement days. During the days before the announcement open interest tends to increase, while it returns to regular levels afterwards. Changes in the quoted spread largely respond to higher trading volume and changes in implied volatility. The effective spread increases on the event day and on the first two days following the earnings announcement.