Order Flow and Expected Option Returns
研究发现做市商面临的库存风险对期权价格有显著影响，并提出了将交易价格冲击分解为库存风险和信息不对称成分的方法。期权订单不平衡对价格的影响比以往认知大五倍，且历史订单不平衡对期权收益的预测能力优于其他常用指标。
ABSTRACT I show that the inventory risk faced by market‐makers has a first‐order effect on option prices. I introduce a simple approach that decomposes the price impact of trades into inventory risk and asymmetric information components. While both components are large for option trades, the inventory risk component is larger. Using the full panel of daily option returns, I find that option order imbalances attributable to inventory risk have five times larger impact on option prices than previously thought. Finally, I find that past order imbalances have greater predictive power than any other commonly used predictor of option returns.