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What do we know about individual equity options?

Author

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  • Alejandro Bernales
  • Thanos Verousis
  • Nikolaos Voukelatos
  • Mengyu Zhang

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’ behavioral 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.

Suggested Citation

  • Alejandro Bernales & Thanos Verousis & Nikolaos Voukelatos & Mengyu Zhang, 2020. "What do we know about individual equity options?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(1), pages 67-91, January.
  • Handle: RePEc:wly:jfutmk:v:40:y:2020:i:1:p:67-91
    DOI: 10.1002/fut.22066
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