The determinants of open interest in option markets
研究了期权未平仓合约受信息不对称和theta驱动，发现其随股票回报动量增加，尤其在卖空受限的负动量股票中，并能预示后续的增发。
Abstract Open interest, the supply of options created, is driven by proxies for asymmetric information and theta (since option writers benefit from theta). Open interest increases with the magnitude of stock return momentum, especially for short‐sale constrained equities with negative return momentum. Moreover, open interest is positively related to firm risk (i.e., option writers respond to hedging demand), but the elasticity of supply decreases toward expiration when adverse selection costs become more salient. Open interest is also informative—we document that increases in open interest significantly presage seasoned equity offerings (SEOs), reflecting informed trading that is not evident with volume metrics.