One session options: Playing the announcement lottery?
研究了澳大利亚3年期国债期货日内单会话期权的交易行为，发现宏观经济公告日交易量更高且集中在公告前，意见分歧和经济政策不确定性高时交易量也更大，提出“意见分歧”最能解释其交易行为。
Abstract One session options (OSOs) fulfill the criteria for a lottery‐type asset; a low price coupled with a relatively small probability of a large payoff. We examine trading behavior for intraday OSO contracts on the Australian 3‐Year Treasury bond future. We find that volume is higher on days with a major macroeconomic announcement, and concentrated in the time before data release. Volume tends to be higher when there is a greater difference of opinion concerning the announcement outcome or when the level of economic policy uncertainty is higher. We propose that ‘differences of opinions’ best explain OSO trading behavior.