What Do We Know About Individual Equity Options?
54 Pages Posted: 27 Feb 2019 Last revised: 11 Aug 2019
Date Written: July 17, 2019
This paper examines the empirical literature on individual equity options, discussing results in areas of consensus, showing findings in areas of disagreement and providing a guide for future research (especially highlighting analyses that cannot be performed with index options). Key topics include the impact of equity option listings on the underlying stock market, option market efficiency, anomalies in equity option returns, option market microstructure, investors' behavioural biases, option price discovery and private information revealed in equity option markets. Some directions for future research include the determinants of equity option returns and the effect of algorithmic trading in option markets.
Keywords: equity options, empirical studies, literature survey
JEL Classification: G12, G13, G14, G41
Suggested Citation: Suggested Citation