TY  - JOUR
AU  - Lakonishok,Josef
AU  - Lee,Inmoo
AU  - Poteshman,Allen M.
TI  - Investor Behavior in the Option Market
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 10264
PY  - 2004
Y2  - February 2004
UR  - http://www.nber.org/papers/w10264
L1  - http://www.nber.org/papers/w10264.pdf
N1  - Author contact info:
Josef Lakonishok
University of Illinois, Department of Finance
College of Commerce & Business Administration
1206 S. Sixth Street
Champaign, IL 61820
Tel: 217/333-7185
Fax: 217/244-1151
E-Mail: jlakonishok@yahoo.com

Allen Poteshman
D.E. Shaw & Co.
39th Floor, Tower 45
120 West Forty-Fifth Street
New York, NY  10036
Tel: (217) 778-6064
E-Mail: poteshman@gmail.com
AB  - This paper investigates the behavior of investors in the equity option market using a unique and detailed dataset of open interest and volume for all contracts listed on the Chicago Board Options Exchange over the 1990 through 2001 period. We document major stylized facts about the option market activity of three types of non-market maker investors over this time period and also investigate how their trading changed during the stock market bubble of the late 1990s and early 2000. Our key findings are: (1) non-market maker investors have about four times more long call than long put open interest, (2) these investors have more short than long open interest in both calls and puts, (3) each type of investor purchases more calls to open brand new positions when the return on underlying stocks are higher over horizons ranging from one week to two years into the past, (4) the least sophisticated group of investors substantially increased their purchases of calls on growth but not value stocks during the stock market bubble of the late 1990s and early 2000, and (5) none of the investor groups significantly increased their purchases of puts during the bubble period in order to overcome short sales constraints in the stock market.
ER  -