O/S: The Relative Trading Activity in Options and Stock

By Richard Roll, Eduardo S. Schwartz, Avanidhar Subrahmanyam. 2010

329 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/5fe57b1c787a209ce67d837bb850f8ad2649e07f

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Citations in the corpus

• Does Option Trading Convey Stock Price Information (2014, background): “Several studies such as Skinner (1990) and Ho (1993) find that stocks with options exhibit smaller price reactions to earnings surprise, suggesting that option trading disseminates new information regarding earnings.”
• The option to stock volume ratio and future returns (2012, background): “The O/S measure was first coined and studied by Roll, Schwartz, and Subrahmanyam (2010), whose findings suggest that cross-sectional and time-series variation in O/S could be driven by informed trade.”
• Illiquidity Premia in the Equity Options Market (2018, background): “Prominent papers include Garleanu, Pedersen, and Poteshman (2009), Easley, O’Hara, and Srinivas (1998), Lakonishok, Lee, and Poteshman (2007), Mayhew (2002), Pan and Poteshman (2006), and Roll, Schwartz, and Subrahmanyam (2010).”