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<p>Prior research suggests that informed traders favor options markets for their leverage advantages. We define a new measure of asset interest that combines the monetary size of changes in option open interest or volume with the probability of options expiring out-of-the-money. Portfolios sorted based on this measure demonstrate predictive power. Long-short zero-cost portfolios yield raw returns exceeding 60% annually, with significant excess returns over reference portfolios and Fama–French factors.</p>

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Do short-lived options reveal information asymmetry? Evidence from open interest and volume signals

  • 期刊论文

  • 出版模式：

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  • 发表日期：

    2025年6月14日

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  • Jimmy E. Hilliard,
  • Jitka Hilliard,
  • Yufei Wu

摘要

Prior research suggests that informed traders favor options markets for their leverage advantages. We define a new measure of asset interest that combines the monetary size of changes in option open interest or volume with the probability of options expiring out-of-the-money. Portfolios sorted based on this measure demonstrate predictive power. Long-short zero-cost portfolios yield raw returns exceeding 60% annually, with significant excess returns over reference portfolios and Fama–French factors.