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 …

This paper uses daily closing data on Chicago Board of Options Exchange (CBOE) options
of 30 stocks during February to July, 1999, to investigate whether options open interest …

This paper answers the following often asked question in option pricing theory: if the
underlying asset's price does not satisfy a lognormal distribution, can market prices satisfy …

Although it is widely accepted that options implied volatility is a good estimate of market
expectations, very little work has focused on the impact of volatility trading on market …

This paper examines the relationship between option trading activity and stock market
volatility. Although the option market is uniquely suited for trading on volatility information …

The paper ascertains the relation between bid-ask spreads and the contract maturity of OTC
currency options. Contrary to previous findings in the futures market, spreads of currency …

The main purpose of the study is to explore the dynamic relationship among the TAIEX spot,
futures, and options markets by proposing an innovative multivariable GARCH-M MSKST …

This paper introduces an empirical method to evaluate the composition of trading activity in
stock and option markets that is based on signed trade count imbalances in these markets …

Résumé L'objectif de cet article est d'examiner sous quelles conditions les marchés
d'options facilitent l'intervention des investisseurs informés. Plus précisément, nous étudions …

This study investigated the co-movement in stock indices between Taiwan business group
members to find investment arbitrage portfolios. Two investment strategies, called co …