Differences in Trading and Pricing Between Stock and Index Options
研究发现个人投资者情绪和过去市场回报正向影响增加股票风险敞口的期权需求，但对指数期权需求无影响；这种交易差异也反映在定价上，情绪和回报影响股票期权隐含波动率斜率，但对指数期权价格影响很小。
We find that the demand for stock options that increases exposure to the underlying is positively related to the individual investor sentiments and past market returns, whereas the demand for index options is invariant to these factors. These differences in trading patterns are also reflected in the differences in the composition of traders with different types of options—options on stocks are actively traded by individual investors, whereas trades in index options are more often motivated by the hedging demand of sophisticated investors. Consistent with a demand-based view of option pricing, the individual investor sentiments and past market returns are related to time-series variations in the slope of the implied volatility smile of stock options, but they have little impact on the prices of index options. The pricing impact is more pronounced in options with a higher concentration of unsophisticated investors and those with higher delta hedging costs. Our results provide evidence that factors not related to fundamentals also impact security prices. This paper was accepted by Brad Barber, finance.