Do short-lived options reveal information asymmetry? Evidence from open interest and volume signals
研究提出一种结合期权未平仓合约或交易量变化金额与期权价外概率的新指标，该指标构建的投资组合年化收益率超60%，且能预测未来收益。
Abstract Prior research suggests that informed traders favor options markets for their leverage advantages. We define a new measure of asset interest that combines the monetary size of changes in option open interest or volume with the probability of options expiring out-of-the-money. Portfolios sorted based on this measure demonstrate predictive power. Long-short zero-cost portfolios yield raw returns exceeding 60% annually, with significant excess returns over reference portfolios and Fama–French factors.