Detecting Informed Trading Activities in the Options Markets: Appendix on Subprime Financial Crisis

This appendix extends the empirical results in Chesney, Crameri, and Mancini (2011). Informedtrading activities on put and call options are analyzed for 19 companies in the bankingand insurance sectors from January 1996 to September 2009. Our empirical findings suggestthat certain events such as the takeovers of AIG and Fannie Mae/Freddie Mac, the collapse ofBear Stearns Corporation and public announcements of large losses/writedowns are precededby informed trading activities in put and call options. The realized gains amount to severalhundreds of millions of dollars. Several cases are discussed in detail.[...]