Center of volume mass: Does options trading predict stock returns?
We examine whether the distribution of trades along the set of strike prices of option contracts on the same stock contains information about underlying price discovery. We show that option traders' demand for delta exposure drives the volume-weighted average strike-spot price ratio (VWKS). In...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2019
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/6568 https://ink.library.smu.edu.sg/context/lkcsb_research/article/7567/viewcontent/SSRN_id3505045.pdf |
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| Institution: | Singapore Management University |
| Language: | English |