Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/258777 
Year of Publication: 
2022
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 15 [Issue:] 2 [Article No.:] 53 [Publisher:] MDPI [Place:] Basel [Year:] 2022 [Pages:] 1-9
Publisher: 
MDPI, Basel
Abstract: 
By employing the modified net buying pressure as a measure of informed option trading, this study tested whether option trading around quarterly earnings announcements is either directionally motivated and/or volatility motivated. We found evidence that is consistent with the idea that option investors have private information prior to positive earnings announcements and use at-the-money options to exploit their informational advantage. In the post-event period, however, informed option investors trade by using deep-out-of-the-money and out-of-the-money options. We documented limited evidence on the volatility-motivated option trading, and our results suggest that this type of option trading could be motivated by hedging purposes only.
Subjects: 
earnings
announcements
options
informed trading
net buying pressure
volatility
direction
at-the-money
out-of-the-money
deep-out-of-the-money
JEL: 
G10
G13
G14
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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