Leveraging a Call-Put Ratio as a Trading Signal
2019
We examine whether a particular put-call ratio, derived from a unique set of market data, can be used to predict directional moves in asset prices during various market conditions between March 2005 and December 2012. Our findings show: 1) specific market participant option trading volume is shown to be a predecessor to asset price movements; 2) portfolios adjusted for risk, momentum and transaction costs exhibit abnormal excess returns. These findings suggest that short positions of a specific market participant improve the overall performance of a given portfolio.
Keywords:
- Correction
- Source
- Cite
- Save
- Machine Reading By IdeaReader
53
References
2
Citations
NaN
KQI