This study suggests a novel approach for decomposing net options demands into the options order imbalances with and without volatility risk. By analyzing a high-frequency index futures and options dataset, we examine the information content of (i) the direction-motivated order imbalance induced by a single option type, which is exposed to volatility risk, and (ii) that constructed by both calls and puts, which is vega-neutral. The aggregate options order imbalance does not convey information after controlling for futures market trading. However, the intraday options order imbalance by trading without volatility risk significantly predicts spot index returns, though its longer-horizon forecasting ability is relatively weak because of a possible cross-market hedging effect. The predictive abilities of informed foreigners’ trades and out-of-the-money options trading are prominent. Our empirical results suggest that the vega-neutral options trading conveys additional information distinct from the futures order imbalance.

这项研究提出了一种将净期权需求分解为带有和不带有波动风险的期权定单不平衡的新方法。通过分析高频指数期货和期权数据集，我们检查（i）由单一期权类型引起的，有波动性风险的，方向性订单不平衡的信息内容，以及（ii）由看涨期权和看跌期权构成，它是中性的。在控制期货市场交易之后，总期权订单不平衡不会传递信息。然而，尽管由于可能存在跨市场套期保值的影响，其长期预测能力相对较弱，但无波动风险的交易中当日期权定单的不平衡会显着预测现货指数回报。知识渊博的外国人交易和价外期权交易的预测能力十分突出。我们的经验结果表明，中立期权交易传达了不同于期货订单失衡的其他信息。