Detecting Informed Trading Activities in the Options Markets: Appendix on Subprime Financial Crisis

Marc Chesney, Remo Crameri and Loriano Mancini
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Marc Chesney: University of Zurich and Swiss Finance Institute
Remo Crameri: University of Zurich and Swiss Finance Institute (Ph.D Program)
Loriano Mancini: EPFL and Swiss Finance Institute

No 11-38, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

Abstract: This appendix extends the empirical results in Chesney, Crameri, and Mancini (2011). Informed trading activities on put and call options are analyzed for 19 companies in the banking and insurance sectors from January 1996 to September 2009. Our empirical findings suggest that certain events such as the takeovers of AIG and Fannie Mae/Freddie Mac, the collapse of Bear Stearns Corporation and public announcements of large losses/writedowns are preceded by informed trading activities in put and call options. The realized gains amount to several hundreds of millions of dollars. Several cases are discussed in detail.

Keywords: options trades; open interest; informed trading; false discovery rate (search for similar items in EconPapers)
JEL-codes: C61 C65 G12 G13 G14 G17 G34 (search for similar items in EconPapers)
Pages: 47 pages
Date: 2011-09
New Economics Papers: this item is included in nep-mst
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Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp1138

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