Business Cycles and Net Buying Pressure in the S&P 500 Futures Options
分析标普500期货期权市场净买入压力的周期性和日内模式，发现看跌期权净买入压力呈逆周期且在衰退期更强，卖出看跌期权的交易利润在衰退期远超扩张期，且早盘交易利润更高。
Abstract We analyse the cyclical behaviour and intraday pattern of net buying pressure in the S&P 500 futures options market. The results suggest that the net buying pressure of puts is counter‐cyclical and is more intense during contraction periods. The trading profits for selling put options during contraction periods thus far exceed those during expansion periods. Net buying pressure also exhibits an intraday pattern. Trading profits in the early trading sessions are higher than those for the rest of the day. In addition, we show that hourly‐basis hedging yields smaller profits than daily‐basis hedging, which suggests that the trading profits based on daily‐basis hedging may contain a risk premium associated with discretely rebalanced ‘risk‐free’ option portfolios.