Volatility Information Trading in the Option Market
利用个股期权交易量构建非做市商的波动率净需求，发现该需求能预测未来实际波动率，且对期权价格有正向影响，在盈利公告前信息不对称加剧时价格影响增加40%。
ABSTRACT This paper investigates informed trading on stock volatility in the option market. We construct non‐market maker net demand for volatility from the trading volume of individual equity options and find that this demand is informative about the future realized volatility of underlying stocks. We also find that the impact of volatility demand on option prices is positive. More importantly, the price impact increases by 40% as informational asymmetry about stock volatility intensifies in the days leading up to earnings announcements and diminishes to its normal level soon after the volatility uncertainty is resolved.