We establish a direct link between sophisticated investors in the option market, private stock market investors, and the idiosyncratic volatility (IVol) puzzle. To do so, we employ three option-based volatility spreads and attention data from Google Trends. In line with the IVol puzzle, the volatility spreads indicate that sophisticated investors indeed consider high-IVol stocks as being overvalued. Moreover, the option measures help to distinguish overpriced from fairly priced high-IVol stocks. Thus, these measures are able to predict the IVol puzzle’s magnitude in the cross-section of stock returns. Further, we link the origin of the IVol puzzle to the trading activity of irrational private investors as the return predictability only exists among stocks that receive a high level of private investor attention. Overall, our joint examination of option and stock markets sheds light on the behavior of different investor groups and their contribution to the IVol puzzle. Thereby, our analyses support the intuitive idea that noise trading leads to mispricing, which is identified by sophisticated investors and exploited in the option market.

我们在期权市场的老练投资者，私人股票市场投资者与特质波动性（IVol）难题之间建立了直接联系。为此，我们使用了来自Google趋势的三个基于期权的波动率价差和关注数据。与IVol难题相一致，波动率点差表明，精明的投资者确实将高IVol股票视为高估了。此外，选择权措施有助于区分价格过高和价格合理的高IVol股票。因此，这些措施能够在股票收益的横截面中预测IVol难题的规模。此外，我们将IVol难题的起源与非理性的私人投资者的交易活动联系在一起，因为回报的可预测性仅存在于受到私人投资者高度关注的股票中。总体，我们对期权和股票市场的联合研究揭示了不同投资者群体的行为及其对IVol难题的贡献。因此，我们的分析支持了直观的想法，即噪声交易会导致定价错误，这一点已被经验丰富的投资者发现并被期权市场所利用。