Financial Education

Pan and Poteshman published an article in the Fall 2006 Review of Financial Studies examining the information content of options markets. They found that stocks with low put-call volume outperform stocks with high put-call volume by 40 basis points the following day and more than 1% over the following week. The returns are even greater when the option volume is high for deep out-of-the money options.

For more information, see all articles on: Investing in Stocks, Investment Returns, Security Selection

See also:

Information Content of the Option Volatility Skew

Efficient Market Hypothesis: Weak Form

What is a Market?

Volume Weighted Average Price (VWAP)

Using VWAP to Measure Transaction Costs