Using a broad sample of merger announcements, I find unusual option volume right before these announcements, an abnormality which provides new information about the pre-merger stock price runup beyond what is incorporated in the stock market. I also find that there exists abnormal option pricing...

Using a broad sample of merger announcements, I find unusual option volume right before these announcements. The abnormal option volume provides new information about the pre-merger stock price runup beyond what is incorporated in the stock market. I also find that there exists abnormal option...

Using a broad sample of earnings announcements, we find that option call and put implied volatilities become increasingly misaligned as the earnings announcement dates (EAD) get closer. The percentage deviation between call and put implied volatilities increases monotonically in the one-month...