The purpose of this study is to investigate option trading before earnings announcement dates as a function of report saliency. We define report saliency as the number of firms announcing earnings on the same day as an examined firm. We find that overall option trading volume is higher, option trading volume increases substantially near earnings announcement dates, and that investors trade more puts than calls when earnings announcements have higher visibility. Additional analyses indicate that these patterns are more pronounced for smaller firms and relate to investors buying and holding downside risk protection before salient earnings announcements.

中文翻译：

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收益公告显着性和期权交易

本研究的目的是调查作为报告显着性函数的收益公告日期之前的期权交易。我们将报告显着性定义为与被调查公司在同一天宣布收益的公司数量。我们发现整体期权交易量较高，期权交易量在收益公告日期附近大幅增加，并且当收益公告具有更高的知名度时，投资者交易的看跌期权多于看涨期权。其他分析表明，这些模式对于较小的公司更为明显，并且与投资者在显着收益公告之前购买和持有下行风险保护有关。