We use a high‐quality microstructure data set of KOSPI 200 index options to examine the patterns of informed options trading around holidays, depending on options market characteristics. The information content of options trading increases around holidays, and this holiday effect is pronounced for out‐of‐the‐money calls and at‐the‐money puts. Informed large trades reinforce the holiday effects for out‐of‐the‐money call options. Foreign investors are generally informed, and their out‐of‐the‐money options trades are even more informed after holidays. Although domestic investors are less informed than their foreign competitors, their options trades seem to convey information both before and after holidays.

中文翻译：

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假期前后的明智期权交易

我们使用KOSPI 200指数期权的高质量微观结构数据集，根据期权市场特征来检查假期前后知情期权交易的模式。期权交易的信息内容在假期前后会增加，这种假期效应在价外买权和看跌看跌期权中尤为明显。知情的大笔交易增强了价外看涨期权的假日影响。外国投资者通常会被告知，而他们的价外期权交易在假期后甚至会更加了解。尽管国内投资者比外国竞争者了解情况少，但他们的期权交易似乎在假期前后都传达了信息。