Date of Award

5-2013

Degree Type

Report

Degree Name

Master of Science (MS)

Department

Economics and Finance

Committee Chair(s)

Tyler Brough

Committee

Tyler Brough

Committee

Drew Dahl

Committee

Benjamin Blau

Abstract

I find no significant difference in the level of information share attributed to the option market when using put data as opposed to call data. In a 12-day sample of 14 S&P 500 stocks, trading volume in the options market increased significantly on the day of an earnings announcement, but, although some securities showed dramatic increases in option information share, no sample-wide consistently signed difference was found around earnings announcements. Companies with higher stock trading volume tend to exhibit higher information share in the options market. Implied price volatility is somewhat correlated with higher information share in options, but its significance shrinks when jointly evaluated with volume.

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