When activist shareholders file Schedule 13D filings, the average stock-price volatility drops by approximately 10%. Prior to filing days, volatility information is reflected in option prices. Using a comprehensive sample of trades by Schedule 13D filers that reveals on what days and in what markets they trade, we show that on days when activists accumulate shares, option-implied volatility decreases, implied volatility skew increases, and implied volatility time slope increases. The evidence is consistent with a theoretical model where it is common knowledge that informed trading occurs only in the stock market and market makers update option prices based on stock-price and order-flow dynamics.

中文翻译：

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股票市场的知情交易和期权价格发现

当激进股东提交附表 13D 文件时，平均股价波动率下降约 10%。在申报日之前，波动性信息反映在期权价格中。使用附表 13D 申报者提供的全面交易样本，揭示他们在哪些日子和在哪些市场进行交易，我们表明在激进分子积累的日子里分享，期权隐含波动率降低，隐含波动率偏斜增加，隐含波动率时间斜率增加。证据与理论模型一致，众所周知，知情交易仅发生在股票市场中，做市商根据股票价格和订单流动态更新期权价格。