| dc.description.abstract | This thesis seeks to unveil evidence of informed trading in option markets. We
use unsigned option volume data to construct a signed modified put call ratio, which
is used to analyze unusual trading patterns prior to large spikes in abnormal returns
on the underlying equities. The data sample consists of daily option volume of approximately
350 000 options from 232 random companies listed on S&P500 between
the 1st of June 2009 to the 6th of August 2014. We conduct statistical tests across
time, across firms, and across both simultaneously to identify informed trading under
the assumption of a semi efficient market; and investigate any preferences an
informed investor might have with regard to selected firm characteristics and timing.
We discover evidence of unusual trading patterns one day prior to large spikes
in abnormal returns, and find supporting evidence that informed traders prefer
out-of-the-money compared to at-the-money and in-the-money options. However,
we do not find any significant linkage between a company’s market value or priceto-book-value,
or that the amount of informed trading in the option market has
decreased with time. | nb_NO |
