Betting Against the Crowd: Option Trading and Market Risk Premium
研究发现，股票看涨期权的净买入量（ACIB）能显著负向预测未来股市回报，该指标反映期权投资者的情绪，并与股票投资者情绪高度相关。
We study how equity option trading affects the market risk premium. We find that a measure of aggregate call order imbalance (ACIB), defined as the cross-sectional average of the difference between open-buy and open-sell volume, negatively forecasts future stock market returns significantly from days to months. Moreover, ACIB represents an option-based investor sentiment measure that accounts for excess option buying or selling, and is highly correlated with the stock investor sentiment. Our findings shed new insights on the distinctions for call and put option trading, index and equity option trading, and cross-sectional and time-series predictions.