Custom Rich-Text Page
This is where
dr albert sze wei tan
theory of option volume and its relation to future stock prices movement
the high volume of stock options indicates a high probability of the rise of future stock prices. Taking advantage of a high volume stock call option in montreal Options Exchange, ( canada) we constructa model to draw a realtionsip. stocks with high volume stock call options is going to go up in the next trading day, this theory is we find that the economic source of this predictability is non-public information possessed by option traders rather than market inefficiency. We also find greater predictability from option signals for stocks with higher concentrations of informed traders and from option contracts with greater leverage.
data was collected since January 01 2012