Index option trading activity and market returns

Chordia, Tarun, Kurov, Alexander, Muravyev, Dmitriy and Subrahmanyam, Avanidhar 2021, Index option trading activity and market returns, Management science, vol. 67, no. 3, pp. 1758-1778, doi: 10.1287/mnsc.2019.3529.

Attached Files
Name Description MIMEType Size Downloads

Title Index option trading activity and market returns
Author(s) Chordia, Tarun
Kurov, Alexander
Muravyev, Dmitriy
Subrahmanyam, Avanidhar
Journal name Management science
Volume number 67
Issue number 3
Start page 1758
End page 1778
Total pages 21
Publisher Institute for Operations Research and the Management Sciences
Place of publication [Providence, R.I.]
Publication date 2021-03
ISSN 0025-1909
Keyword(s) index options
order flow
market efficiency
Summary Do order flows in index derivatives play an informational role? Weekly index put order flow on the International Securities Exchange positively and robustly predicts weekly S&P 500 index returns. This result obtains mainly for net put buying and is stronger in high VIX periods and in periods following macroeconomic announcements. We explore rationales for our findings, which include investor sentiment, the notion that market makers trade on information in options markets, and option-based risk protection strategies used by retail investors. The last explanation accords best with our analysis. This paper was accepted by Tyler Shumway, finance.
Language eng
DOI 10.1287/mnsc.2019.3529
Indigenous content off
Field of Research 08 Information and Computing Sciences
15 Commerce, Management, Tourism and Services
HERDC Research category C1.1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Persistent URL

Document type: Journal Article
Collections: Faculty of Business and Law
Department of Finance
Connect to link resolver
Unless expressly stated otherwise, the copyright for items in DRO is owned by the author, with all rights reserved.

Version Filter Type
Citation counts: TR Web of Science Citation Count  Cited 0 times in TR Web of Science
Scopus Citation Count Cited 3 times in Scopus
Google Scholar Search Google Scholar
Access Statistics: 38 Abstract Views, 0 File Downloads  -  Detailed Statistics
Created: Mon, 22 Mar 2021, 08:04:01 EST

Every reasonable effort has been made to ensure that permission has been obtained for items included in DRO. If you believe that your rights have been infringed by this repository, please contact