论文标题
期权量不平衡作为股票市场回报的预测指标
Option Volume Imbalance as a predictor for equity market returns
论文作者
论文摘要
我们研究了与正面和负面市场视图相对应的期权量之间的归一化不平衡的使用，这是对现货市场中定向价格变动的预测指标。通过非线性分析，并将汇总量分解为五个不同的市场参与者类别，我们发现了过度市场过夜回报的有力迹象。最强大的信号来自市销业务。除其他发现外，我们证明了大多数可预测性源于高实现挥发性选项合同，并且PUT选项量的信息内容大于呼叫选项的信息。
We investigate the use of the normalized imbalance between option volumes corresponding to positive and negative market views, as a predictor for directional price movements in the spot market. Via a nonlinear analysis, and using a decomposition of aggregated volumes into five distinct market participant classes, we find strong signs of predictability of excess market overnight returns. The strongest signals come from Market-Maker volumes. Among other findings, we demonstrate that most of the predictability stems from high-implied-volatility option contracts, and that the informational content of put option volumes is greater than that of call options.
