This paper examines the predictive ability of index option put-call volume on next-day index movements in the Taiwan market. We find that foreign institutional investors are the most informed traders, with their predictive ability being more apparent in a downward market. When engaging in...

We set out in this study to investigate the price impacts of options and futures trading prior to the stock market opening. Our findings indicate clustering by a high proportion of informed traders during the ‘pre-open’ period, with their options and futures trading volume being found to...

In this paper we propose and estimate an econometric model for the distribution of trading activity across options written on the DAX index. The model is based on the observation that in this market options with strike prices ending on 000, 200, 400, 600 and 800 (the class of 200-strike options)...