Speculation or hedging?—Options trading prior to FOMC announcements
研究了联邦公开市场委员会公告前期权交易活动，发现知情交易者利用期权投机，看涨期权异常交易量正向预测公告后指数回报，且主要由近价看涨期权驱动，未发现对冲证据。
Abstract This paper investigates options trading activity before Federal Open Market Committee (FOMC) announcements. We find evidence that informed traders use options to speculate on their private information for the upcoming FOMC announcements. Specifically, abnormal trading volume of call options on S&P 500 index during the preannouncement window positively predicts postannouncement index returns, and this predictability mainly comes from near‐the‐money call options. Moreover, we further break down trading volume based on the direction of trades and show that buyer‐initiated call option trading volume positively predicts postannouncement index returns. We find no evidence that investors use options to hedge postannouncement market uncertainty.