Informed trading of out‐of‐the‐money options and market efficiency
研究了价外看跌期权与看涨期权成交量比率对股票收益的预测能力，发现该比率能预测未来股票收益和公司新闻，并提出可实施的股票组合策略。
Abstract We examine the stock return predictability of out‐of‐the‐money (OTM) put‐to‐call trading volume ratio (OTMPC). Our numerical analysis predicts that in the US equity option market, informed investors rarely write OTM options because the leverage effect is not sufficient to compensate for transaction costs. OTMPC thus captures the informed investors’ OTM put purchase volume relative to their OTM call purchase volume. After controlling for existing empirical proxies for informed option trading, we find that OTMPC predicts future stock returns and corporate news. The return predictability offers implementable stock portfolio strategies. Our findings suggest that market inefficiency can emerge from uninformed investors’ limited knowledge about how transaction costs influence the trading strategies of informed investors.