Does Option Trading Have a Pervasive Impact on Underlying Stock Prices?
研究了期权交易是否通过非信息渠道影响标的股票价格，发现做市商的对冲再平衡会改变股票收益波动率和大幅价格变动的概率。
Abstract The question of whether and to what extent option trading affects underlying stock prices has been of interest to researchers since exchange-based options trading began in 1973. Recent research presents evidence of an informational channel through which option trading affects stock prices by showing that option market makers’ stock trades to hedge new options positions cause the information reflected in option trading to be impounded into underlying equity prices. This paper provides evidence of a noninformational channel through which option market maker hedge rebalancing affects stock return volatility and the probability of large stock price moves.