Option Market Activity
Option Market Activity
复制标题
DOI：
10.1093/rfs/hhl025
复制
发表时间：
2007-05
影响因子：
8.2
通讯作者：
Josef Lakonishok;I. Lee;Neil D. Pearson;Allen M. Poteshman
中科院分区：
文献类型：
--
作者：
Josef Lakonishok;I. Lee;Neil D. Pearson;Allen M. Poteshman
本文使用一个独特的期权数据集，对几类投资者的买入和卖出未平仓合约以及未平仓买卖量进行了详细的描述性统计。我们还表明，波动性交易通过跨和扼杀占期权交易量的一小部分，并提出证据表明，很大比例的看涨期权写作的一部分，覆盖看涨头寸。最后，我们发现，在20世纪90年代末和2000年初的股市泡沫期间，数据集中最不成熟的投资者大幅增加了对成长型看涨期权的购买，而不是价值型股票。
This article uses a unique option data set to provide detailed descriptive statistics on the purchased and written open interest and open buy and sell volume of several classes of investors. We also show that volatility trading through straddles and strangles accounts for a small fraction of option trading volume and presents evidence that a large percentage of call writing is part of covered call positions. Finally, we find that during the stock market bubble of the late 1990s and early 2000 the least sophisticated investors in the data set substantially increased their purchases of calls on growth but not value stocks.