Chesney Crameri Mancini

Fakultäten » Wirtschaftswissenschaftliche Fakultät » Banking und Finance, Institut für » Prof. Dr. Marc Chesney » Chesney Crameri Mancini

Completed research project

Title / Titel Detecting Informed Trading Activities in the Options Markets
PDF Abstract (PDF, 14 KB)
Summary / Zusammenfassung Detecting Informed Trading Activities in the Options Markets

This paper presents a new method to detect informed trading activities in the options markets. An option trade is identified as informed when it is characterized by an unusual large increment in open interest and volume, induces large gains, and is not hedged in the stock market. For the period 1996–2006, each put option contract on 14 companies traded in the Chicago Board Options Exchange is analyzed. Our method detects several informed trades which can be associated to one of the following three events: merger and acquisition announcements, quarterly financial/earning related statements, and the terrorist attacks of September 11th.

Keywords: Put Options, Open Interest, Informed trading
JEL Classification: G12, G13, G14, G17, G34, C61, C65
Weitere Informationen
Project leadership and contacts /
Projektleitung und Kontakte
Prof. Marc Chesney (Project Leader)  
Dr. Remo Crameri (Project Leader)  
Prof. Loriano Mancini (Project Leader)  
Funding source(s) /
Unterstützt durch
Universität Zürich (position pursuing an academic career), Others
Duration of Project / Projektdauer Jan 2010 to Dec 2014