Options
Pricing theory, the volatility risk premium, option returns, and the modern 0DTE evidence.
| Citation | Paper | Access | Difficulty | Score |
|---|---|---|---|---|
| Brogaard et al. (2023) | Does 0DTE Options Trading Increase Volatility? SSRN Working Paper | Free | Moderate | 0 |
| Beckmeyer et al. (2023) | Retail Traders Love 0DTE Options... But Should They? SSRN Working Paper | Free | Moderate | 0 |
| Muravyev & Pearson (2020) | Options Trading Costs Are Lower than You Think Review of Financial Studies | Free | Moderate | 0 |
| Cremers & Weinbaum (2010) | Deviations from Put-Call Parity and Stock Return Predictability Journal of Financial and Quantitative Analysis | Paywalled | Moderate | 0 |
| Goyal & Saretto (2009) | Cross-Section of Option Returns and Volatility Journal of Financial Economics | Paywalled | Moderate | 0 |
| Pan & Poteshman (2006) | The Information in Option Volume for Future Stock Prices Review of Financial Studies | Paywalled | Moderate | 0 |
| Ni et al. (2005) | Stock Price Clustering on Option Expiration Dates Journal of Financial Economics | Paywalled | Moderate | 0 |
| Bollen & Whaley (2004) | Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? Journal of Finance | Paywalled | Moderate | 0 |
| Coval & Shumway (2001) | Expected Option Returns Journal of Finance | Paywalled | Moderate | 0 |