We generate new evidence on disagreement among traders in the S&P 500 options market from high-frequency intraday price and volume data. Inference on disagreement is based on a model where investors observe public information but agree to disagree on its interpretation; disagreement among investors is captured by the volume–volatility elasticity. For options, there are two natural variables related to disagreement: moneyness and tenor, which we relate to disagreement about the distribution of the market index at different quantiles and times. The estimated volume–volatility elasticity equals unity for options near the money and close to expiration, which is consistent with the case of no disagreement among investors. In contrast, the elasticity estimates decrease with increases in the absolute value of moneyness, indicating investors have a higher disagreement about rare events. Likewise, the elasticity decreases with increases in tenor, implying higher investors’ disagreement about more distant events.

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市场指数期权的分歧

我们从高频盘中价格和交易量数据中生成了关于标准普尔 500 指数期权市场交易者之间分歧的新证据。分歧推断是基于投资者观察公共信息但同意对其解释存在不同意见的模型；投资者之间的分歧可以通过交易量-波动率弹性来体现。对于期权，有两个与分歧相关的自然变量：金钱和期限，我们将其与市场指数在不同分位数和时间的分布的分歧联系起来。估计的成交量-波动率弹性等于接近货币和接近到期的期权的统一性，这与投资者之间没有分歧的情况一致。相反，弹性估计随着货币绝对值的增加而减少，表明投资者对罕见事件的分歧更大。同样，弹性随着期限的增加而降低，这意味着更高的投资者对更遥远的事件的分歧。