Detecting Informed Trading Activities in the OptionsMarkets

This paper presents a new method to detect informed trading activities in the options markets.An option trade is identified as informed when it is characterized by an unusual largeincrement in open interest and volume, induces large gains, and is not hedged in the stock market.For the period 1996–2006, each put option contract on 14 companies traded in the ChicagoBoard Options Exchange is analyzed.[...]

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Year of publication:	2009-12-11
Authors:	Chesney, Marc ; Crameri, Remo ; Mancini, Loriano
Institutions:	Institut für Schweizerisches Bankwesen <Zürich>
Subject:	Handel \| trade \| Information \| information \| Put-Option \| put option

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Introduction
1 Related literature
2 Detecting informed trading activity
2.1 The first criterion: Increment in open interest relative to volume
2.2 The second criterion: Relative return and realized gain
2.3 The third criterion: Hedging option position
2.4 Detecting option informed trades combining the three criteria
3 Data
4 Empirical results
4.1 The terrorist attacks of September 11th
4.2 The acquisition announcement in the US airline sector in May 2000
4.3 The delayed delivery announcement of EADS superjumbo A380 inMay 2006
4.4 Robustness checks
5 Conclusion
References

Persistent link: https://www.econbiz.de/10005868704