We find abnormal volatility spreads in the options market immediately before corporate insider stock trades, suggesting informed options trading prior to insider trades. The informed options trading is more pronounced for large insider trades, firms in more corrupt areas, and insider purchases in firms with high information asymmetry. Furthermore, the abnormal volatility spreads are positively associated with the post-trade abnormal returns. In the aftermath of the Securities and Exchange Commission's squawk box cases, informed options trading before insider trades mostly disappeared except for a group of insider stock sales related to insider derivatives transactions such as employee stock options exercises.

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内幕交易前的知情期权交易

我们发现在公司内幕交易之前期权市场存在异常波动性差价，表明在内幕交易之前进行知情期权交易。知情期权交易对于大型内幕交易、更腐败地区的公司以及高度信息不对称公司的内幕购买更为明显。此外，异常波动利差与交易后异常收益呈正相关。在美国证监会爆料箱案之后，内幕交易前的知情期权交易大多消失了，除了一组与员工股票期权行权等内幕衍生交易相关的内幕股票销售。