Volatility Information Trading in the Option Market

258 citations recorded by the source corpus.

Subfields: Finance

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Credit Default Swaps: A Survey (2014, methodology): “Using the information embedded in the term structure of spreads seems to be a useful direction, as pointed out by Pan and Singleton [2008] and applied by Augustin [2013].”
Does Option Trading Convey Stock Price Information (2014, background): “For example, Ni, Pan, and Poteshman (2008) show that the net demand for volatility risk in the options market positively predicts the next day’s realized volatility in the cross section.”
Deviations from Put-Call Parity and Stock Return Predictability (2010, unknown): “Other related work includes Anand and Chakravarty (2007), Bhattacharya (1987), Black (1975), Finucane (1991), Holowczak, Simaan, and Wu (2006), and Ni, Pan, and Poteshman (2007).”
The Bright Side of Financial Derivatives: Options Trading and Firm Innovation (2016, background): “Moreover, options are a mechanism for trading on information about future equity volatility, which allows investors with information about stock price volatility to benefit from options (Ni, Pan, and Poteshman, 2008).”