Detecting Abnormal Trading Activities in Option Markets: Supplemental Appendix

59 Pages Posted: 22 Sep 2011 Last revised: 1 Apr 2015

Marc Chesney

University of Zurich - Swiss Banking Institute (ISB); Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne

Remo Crameri

University of Zurich - Swiss Banking Institute (ISB)

Loriano Mancini

Ecole Polytechnique Fédérale de Lausanne; Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne

Date Written: January 22, 2015

Abstract

This supplemental appendix extends the empirical results in the main paper. Abnormal trading activities on call and put options are analyzed for 19 companies in the banking and insurance sectors from January 1996 to September 2009. Our empirical findings suggest that certain events such as the takeovers of AIG and Fannie Mae/Freddie Mac, the collapse of Bear Stearns Corporation and public announcements of large losses/writedowns are preceded by abnormal trading activities in call and put options. The realized gains amount to several hundreds of millions of dollars. Several cases are discussed in detail.

Keywords: Options Trades, Open Interest, False Discovery Rate, Massive dataset, Financial Crisis

JEL Classification: G12, G13, G14, G17, G34, C61, C65

Suggested Citation

Chesney, Marc and Crameri, Remo and Mancini, Loriano, Detecting Abnormal Trading Activities in Option Markets: Supplemental Appendix (January 22, 2015). Swiss Finance Institute Research Paper No. 11-38. Available at SSRN: https://ssrn.com/abstract=1931639 or http://dx.doi.org/10.2139/ssrn.1931639

Marc Chesney (Contact Author)

University of Zurich - Swiss Banking Institute (ISB) ( email )

Plattenstrasse 14
CH-8032 Zurich, Zurich 8032
Switzerland

Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne ( email )

c/o University of Geneve
40, Bd du Pont-d'Arve
1211 Geneva, CH-6900
Switzerland

Remo Crameri

University of Zurich - Swiss Banking Institute (ISB) ( email )

Plattenstrasse 14
CH-8032 Zurich, Zurich 8032
Switzerland
+41 44 634 45 83 (Phone)

Loriano Mancini

Ecole Polytechnique Fédérale de Lausanne ( email )

Quartier UNIL-Dorigny
Bâtiment Extranef
1015 Lausanne, CH-1015
Switzerland

HOME PAGE: http://sfi.epfl.ch/mancini.html

Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne ( email )

c/o University of Geneve
40, Bd du Pont-d'Arve
1211 Geneva, CH-6900
Switzerland

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