Asymmetric Option Returns in China
研究发现中国期权市场存在隔夜与日内收益的非对称性，即看涨期权隔夜收益为正而日内为负，看跌期权则相反。散户的赌博动机是主因，机构投资者虽利用此套利但非对称性持续存在。
ABSTRACT This paper documents two return asymmetries in China's options market: call (put) returns are positive (negative) overnight but negative (positive) intraday. We provide a demand‐pressure‐based explanation for this phenomenon, identifying retail investors' gambling motives as the primary catalyst, which are particularly salient following negative realizations of underlying returns. Additionally, insurance‐driven demand accounts for the negative overnight put returns, while attention‐driven demand contributes to the night‐day asymmetry in call returns. Despite institutional investors exploiting these mispricings, the asymmetries persist over time, leaving retail investors to bear losses as counterparties.