Cheap Options Are Expensive
研究发现散户需求压力使低价股期权相对昂贵，其delta对冲后表现每周比高价股期权低0.63%（看涨）和0.36%（看跌），并通过股票拆分、迷你指数等自然实验验证，归因于散户对偏度和意见分歧的偏好。
Abstract We show that demand pressure from retail investors makes options on low-price stocks relatively expensive—delta-hedged options on low-price stocks underperform those on high-price stocks by 0.63% per week for calls and 0.36% for puts. Natural experiments corroborate this finding: options become more expensive following stock splits, options on mini indices are more expensive than those on main indices, and mini contract options are more expensive than standard options. We attribute our findings to retail investors’ preference for skewness and divergence of opinion. Limits to arbitrage and strategic quote setting by market makers contribute to, but do not fully explain, this effect.