Option trading and returns versus the 52‐week high and low
研究发现期权交易者受股票52周高或低点的锚定效应影响，股价接近这些极值时期权交易量下降，买卖失衡变化，且后续期权回报更高。
Abstract We show that option traders suffer from the anchoring effect induced by the stock price's 52‐week high or low. Specifically, (1) trading of all options decreases as the stock price approaches its 52‐week high or low, (2) the buy–sell imbalance for calls decreases and that for puts increases as the stock price approaches its 52‐week high, and the opposite occurs as the stock price approaches its 52‐week low, and (3) the subsequent delta‐hedged option returns for both calls and puts are higher as the stock price approaches its 52‐week extreme.