Sophie Xiaoyan Ni

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We model demand-pressure effects on option prices. The model shows that demand pressure in one option contract increases its price by an amount proportional to the variance of the unhedgeable part of the option. Similarly, the demand pressure increases the price of any other option by an amount proportional to the covariance of the unhedgeable parts of the(More)
This paper investigates informed trading on stock volatility in the option market. We construct non-market maker net demand for volatility from the trading volume of individual equity options and find that this demand is informative about the future realized volatility of underlying stocks. We also find that the impact of volatility demand on option prices(More)
We propose a new measure of financial intermediary constraints based on how the intermediaries manage their tail risk exposures. Using a unique dataset for the trading activities in the market of deep out-of-the-money S&P 500 put options, we identify periods when the variations in the net amount of trading between financial intermediaries and public(More)
Our model presented in the paper captures a number of the key features we have found in the data. In particular, the model captures the fact that when equilibrium public buying is low, risk premia may be high as this may correspond to time when dealers are (or act as if they are) more risk averse. However, as in Chen, Joslin, and Tran (2012), wealth moves(More)
The net amount of deep out-of-the-money (DOTM) S&P 500 put options that public investors purchase (or equivalently, the amount that financial intermediaries sell) in a month is a strong predictor of future market excess returns. A one-standard deviation decrease in our public net buy-to-open measure (PNBO) is associated with a 3.4% increase in the(More)
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