This paper investigates informed trading on stock volatility in the option market. We construct non-market maker net demand for volatility from the trading volume of individual equity options and find that this demand is informative about the future realized volatility of underlying stocks. We also

Researchers have reported mispricing in index options markets. This study further examines the efficiency of the S&P 500 index options market by testing theoretical pricing relationships implied by no-arbitrage conditions. The effect of a traded stock basket, Standard and Poor's Depository

implementation methods are sufficiently versatile to discover crash/rally information embedded in option markets. Exploiting more than 17,000 out-of-money option prices, the framework quantifies three dimensions of crash discovery (i) time-variations in Arrow-Debreu security price on the extre...

Our primary goal is to develop and analyze a dynamic economic model that takes into account several sources of information-based trade–the markets for a stock and options on that stock–and that ultimately accounts for salient features of stock price data, including serial correlation in stock

We model the temporal properties of the first three moments of asset returns and examine whether incorporating time varying skewness in the underlying asset returns leads to profitable strategies using at-the-money S&P 500 index options. We devise trading rules that incorporate the skewness

This paper develops a multi-attribute competition model for procurement of commodities, such as electricity. We describe a purchasing process between a buyer and many suppliers for option contracts in a single period supply environment. The parameters of the negotiation are two

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prices as a function of volatility. If an option price is given by the market we can invert this relationship to get the implied volatility. If the model were perfect, this implied value would be the same for all option market prices, but reality shows this is not the case. Implied Black

does it a ect where informed traders trade?

-based and order-based option liquidity. We find that the transaction volume of the underlying stock is indeed a major determinant of transaction-based liquidity in the options market, whereas contrary to standard intuition, return volatility does not consistently exhibit a significant impact. On the other hand