Purpose

This paper investigates how the gambling measure captures market bubble events, and how it predicts stock return and option return.

Design/methodology/approach

This paper proposes a gambling activity measure by jointly considering open interest and moneyness of out-of-the-money (OTM) individual equity call options.

Findings

The new measure, CallMoney, captures excessive optimism during the dot-com bubble, the oil price bubble and the pre-GFC stock market bubble. CallMoney robustly and negatively predicts both OTM and at-the-money call option returns cross-sectionally. The option return predictability of CallMoney is stronger when stock price is further from its 52-weeks high, capital gains overhang is lower, and when information uncertainty of the underlying stock is higher. CallMoney also robustly and negatively predicts cross-sectional stock returns.

Originality/value

The gambling measure has the advantages of being economically intuitive, model-free, easy to measure. The measure performs more robustly than existing lottery measures with respect to option and stock return predictability and more reliably captures the overpricing of options and stocks. The work helps understanding the gambling related anomalies in equity option returns and stock returns.

中文翻译：

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衡量期权市场中的赌博活动

目的

本文研究了赌博措施如何捕捉市场泡沫事件，以及它如何预测股票收益和期权收益。

设计/方法/方法

本文通过联合考虑价外 (OTM) 个人股票看涨期权的未平仓量和货币性，提出了一种赌博活动度量。

发现

新的衡量标准 CallMoney 在互联网泡沫、油价泡沫和全球金融危机前的股市泡沫期间捕捉到了过度乐观的情绪。CallMoney 对 OTM 和平价看涨期权的横截面收益进行稳健且负面的预测。当股价远离其 52 周高点时，CallMoney 的期权收益可预测性更强，资本收益过剩较低，并且当标的股票的信息不确定性较高时。CallMoney 还对横截面股票收益进行了稳健和负面的预测。

原创性/价值

赌博度量具有经济直观、无模型、易于度量的优点。在期权和股票收益的可预测性方面，该措施比现有的彩票措施表现得更稳健，并且更可靠地捕捉到期权和股票的定价过高。这项工作有助于了解股权期权回报和股票回报中与赌博相关的异常情况。