Koo, Bonha; Kim, Ryumi - In: Journal of derivatives and quantitative studies 32 (2024) 1, pp. 58-81
Using the next-day and next-week returns of stocks in the Korean market, we examine the association of option volume … ratios - i.e. the option-to-stock (O/S) ratio, which is the total volume of put options and call options scaled by total … underlying equity volume, and the put-call (P/C) ratio, which is the put volume scaled by total put and call volume - with future …