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Detecting Informed Trading Activities in the Options Markets: Appendix on Subprime Financial Crisis

  • Marc CHESNEY

    (University of Zurich and Swiss Finance Institute)

  • Remo CRAMERI

    (University of Zurich and Swiss Finance Institute (Ph.D Program))

  • Loriano MANCINI

    (EPFL and Swiss Finance Institute)

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    This appendix extends the empirical results in Chesney, Crameri, and Mancini (2011). Informed trading activities on put and call 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 informed trading activities in put and call options. The realized gains amount to several hundreds of millions of dollars. Several cases are discussed in detail.

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    Paper provided by Swiss Finance Institute in its series Swiss Finance Institute Research Paper Series with number 11-38.

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    Length: 47 pages
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    Handle: RePEc:chf:rpseri:rp1138
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