A Characterization of the Daily and Intraday Behavior of Returns on Options
研究芝加哥期权交易所期权收益的日间和日内模式，发现即使调整了标的资产均值和方差，期权收益仍存在系统性规律，支持知情交易使期权非冗余的假说。
The daily and intraday behavior of returns on Chicago Board Options Exchange options is examined. Option returns contain systematic patterns even after adjusting for patterns in the means and variances of the underlying assets. This is consistent with the hypothesis that informed trading in options can make the order flow in the options market informative about the value of the underlying asset, making options nonredundant. The intraday patterns in adjusted option return variances are further consistent with a model of strategic trading by informed and discretionary liquidity traders.