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Informed Trading in the Norwegian Options Market

Lyngestad, Eirik Andreas
Master thesis
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URI
http://hdl.handle.net/11250/2578668
Date
2018
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  • Institutt for industriell økonomi og teknologiledelse [3451]
Abstract
This study investigates if informed trading occur in the Norwegian options market prior to quarterly earnings announcements and if firm characteristics like high stock price level and investments in R&D effect the extent of such trading. Prior research suggests that informed traders may cause option prices to systematically deviate from the put-call parity by imposing price pressure on certain options. Price pressures materialize through an implied volatility spread which has been found to predict equity returns, especially during major information events. The implied volatility spread is investigated and results indicate that informed investors use the options market to act on their private information, but only when they expect a favorable market reaction to the earnings disclosure. High stock price level and investments in R&D are not found to effect the extent of informed trading ex-ante.
Publisher
NTNU

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