What Do We Know About Individual Equity Options?

54 Pages Posted: 27 Feb 2019 Last revised: 11 Aug 2019

See all articles by Alejandro Bernales

Alejandro Bernales

Universidad de Chile

Thanos Verousis

Essex Business School

Nikolaos Voukelatos

University of Kent

Mengyu Zhang

University of Kent, Kent Business School

Date Written: July 17, 2019

Abstract

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

Bernales, Alejandro and Verousis, Thanos and Voukelatos, Nikolaos and Zhang, Mengyu, What Do We Know About Individual Equity Options? (July 17, 2019). Available at SSRN: https://ssrn.com/abstract=3336276 or http://dx.doi.org/10.2139/ssrn.3336276

Alejandro Bernales (Contact Author)

Universidad de Chile ( email )

Diagonal Paraguay 257
Santiago
Chile

HOME PAGE: http://www.alejandrobernales.com

Thanos Verousis

Essex Business School ( email )

United Kingdom

Nikolaos Voukelatos

University of Kent ( email )

Canterbury, Kent CT2 7PE
United Kingdom
0044 (0) 1227827705 (Phone)

HOME PAGE: http://https://www.kent.ac.uk/kbs/profiles/staff/voukelatos_nikolaos.html

Mengyu Zhang

University of Kent, Kent Business School ( email )

CT2 7NP
United Kingdom

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