Informed Trading in the Options Market and Stock Return Predictability
研究发现期权交易量对股票未来收益的预测能力取决于波动率微笑的形态，仅在波动率微笑陡峭的股票中，期权交易量与未来收益呈负相关。
Previous research highlights the importance of two distinct types of informed trading in the options market: trading on the price direction of underlying stocks, and trading on their uncertainty. Surprisingly, however, the studies considering these in a unified framework are scant.This study attempts to fill the gap. We predict that when both directional and volatility information could motivateoptions trading, the return predictability of options volume hinges onthe shape of the volatility smirk.Consistent with this prediction, we find thatthe negative relationship between options volume and future stock returns is concentrated in stocks exhibiting steep volatility smirks. © 2017 Wiley Periodicals, Inc. Jrl Fut Mark 37:1053–1093, 2017