I examine the link between option and equity markets by considering the informational content of the option trading volume with respect to moneyness and maturity when the trade direction is unobserved. A high option trading volume of all maturity terms, deep-in-the-money put options, and deep-out-of-the-money call options, predicts higher leverage, increases in default risk, negative earnings surprises, and decreases in future profitability. In addition, option trading volume negatively predicts future stock returns. Information diffusion from the option market to equities plays an important role in accounting for return predictability in option trading volume. Such predictability is less evident in stocks with high institutional ownership and more analyst coverage.

在未观察到交易方向时，我通过考虑期权交易量关于货币性和期限的信息内容来检验期权和股票市场之间的联系。所有到期期限、深度价内看跌期权和深度价外看涨期权的高期权交易量预示着更高的杠杆率、违约风险增加、负收益意外和未来减少盈利能力。此外，期权交易量对未来股票收益有负面影响。从期权市场到股票的信息传播在说明期权交易量的回报可预测性方面起着重要作用。这种可预测性在机构持股比例高且分析师覆盖率高的股票中不太明显。