We document a positive and persistent relation between retail investor attention, as measured by Google search volume, and future realized stock return volatility. The relation implies a profitable option trading strategy of purchasing high attention delta-neutral straddles and selling low...

We develop a measure of investor disagreement about the probability distribution of future returns on the market portfolio. The measure, which depends on the distribution across strike prices of open interest in index options, is derived by inverting the optimal portfolio decision of an investor...