We examine whether the option market leads the stock market with respect to positive in addition to negative price discovery. We document that out-of-the-money (OTM) option prices, which determine the Risk-Neutral Skewness (RNS) of the underlying stock return’s distribution, can embed positive information regarding the underlying stock. A long-only portfolio of stocks with the highest RNS values yields a significant positive alpha in the post-ranking week during the period 1996–2014. This outperformance is mainly driven by stocks that are relatively underpriced but are also exposed to greater downside risk. These findings are consistent with a trading mechanism where investors choose to exploit perceived stock underpricing via OTM options due to their embedded leverage, rather than directly buying the underlying stock to avoid exposure to its potential downside. Due to the absence of severe limits-to-arbitrage for the long-side, the price correction signalled by RNS is very quick, typically overnight.

我们考察期权市场在积极方面是否领先于股票市场除了负面的价格发现。我们记录了价外（OTM）期权价格，该价格确定了标的股票收益的分布的风险中性偏度（RNS），可以嵌入有关标的股票的正面信息。RNS值最高的长期股票投资组合在1996-2014年的排名后一周产生显着的正alpha值。表现出色的主要原因是股价相对低估但也承受更大下行风险的股票。这些发现与交易机制是一致的，在这种交易机制中，投资者由于其内在的杠杆作用而选择通过OTM期权利用可感知的股票低价，而不是直接购买标的股票以避免其潜在的下跌风险。由于长期缺乏严格的套利限制，