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| Author: | Roll, R. Schwartz, E. Subrahmanyam, A. |
| Title: | O/S: The relative trading activity in options and stock |
| Journal: | Journal of Financial Economics
2010 : APR, VOL. 96:1, p. 1-17 |
| Index terms: | options stocks trading volumes information |
| Language: | eng |
| Abstract: | Based on a comprehensive cross-section and time-series of data on equities and their listed options, this paper examines the time-series properties and the determinants of the options/stock trading volume ratio(O/S). O/S is related to many intuitive determinants such as delta and trading costs, also varying with institutional holdings,..., and analyst forecast dispersion. O/S is higher around earnings announcements, suggesting increased trading in the options market etc. |
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