Index Option Trading Activity and Market Returns
研究发现国际证券交易所的指数看跌期权订单流能正向预测标普500指数周回报，尤其在波动率高和宏观公告后更显著，且最符合散户投资者基于期权的风险保护策略解释。
Do order flows in index derivatives play an informational role? Weekly index put order flow on the International Securities Exchange positively and robustly predicts weekly S&P 500 index returns. This result obtains mainly for net put buying and is stronger in high VIX periods and in periods following macroeconomic announcements. We explore rationales for our findings, which include investor sentiment, the notion that market makers trade on information in options markets, and option-based risk protection strategies used by retail investors. The last explanation accords best with our analysis. This paper was accepted by Tyler Shumway, finance.