Table 4 Averages of the variables in...

Table 4

Averages of the variables in five option ratio portfolios

Panel A: O/S quintile							Panel B: P/C quintile
	Low	2	3	4	High	High -low		Low	2	3	4	High	High -low
Ret	0.022	0.035	0.051	0.034	−0.027	−0.048	Ret	0.028	0.057	0.031	0.017	0.012	0.016
Ret	(0.76)	(1.35)	(2.13)	(1.49)	(−1.23)	(−1.35)	Ret	(1.03)	(2.47)	(1.36)	(0.72)	(0.42)	(0.41)
Mrk-adj Ret	0.152	0.202	0.191	0.165	0.050	−0.102	Mrk-adj Ret	−0.047	0.075	0.214	0.253	0.248	−0.295***
Mrk-adj Ret	(2.49)	(3.66)	(3.75)	(3.44)	(1.10)	(−1.35)	Mrk-adj Ret	(−0.82)	(1.49)	(4.29)	(5.00)	(4.49)	(−3.71)
LogSize	30.331	30.388	30.333	30.371	30.248	−0.083***	LogSize	30.199	30.364	30.371	30.405	30.359	−0.160***
LogSize						(−4.43)	LogSize						(−9.04)
BM	1.346	1.383	1.392	1.333	1.152	−0.194***	BM	1.301	1.312	1.347	1.337	1.276	0.026*
BM						(−13.86)	BM						(1.71)
STD	0.023	0.022	0.022	0.022	0.021	−0.002***	STD	0.023	0.022	0.022	0.022	0.022	0.001***
STD						(−17.05)	STD						(7.45)
LogTV	24.920	24.937	24.788	24.683	24.295	−0.624***	LogTV	24.682	24.735	24.711	24.755	24.762	−0.081***
LogTV						(−33.38)	LogTV						(−4.49)
LogShrtTV	20.917	20.982	20.842	20.737	20.494	−0.423***	LogShrtTV	20.813	20.901	20.810	20.868	20.878	−0.065
LogShrtTV						(−8.35)	LogShrtTV						(−1.25)
P/C	0.468	0.472	0.465	0.457	0.456	−0.012***	O/S	0.053	0.070	0.070	0.064	0.063	0.010***
P/C						(−3.46)	O/S						(4.39)
P/C_inst	0.467	0.471	0.464	0.457	0.456	−0.010***	O/S_inst	0.158	0.203	0.204	0.185	0.189	0.031***
P/C_inst						(−3.03)	O/S_inst						(3.53)
P/C_indi	0.455	0.464	0.467	0.453	0.452	−0.003	O/S_indi	0.044	0.054	0.055	0.053	0.054	0.010***
P/C_indi						(−0.68)	O/S_indi						(3.98)
P/C_forg	0.458	0.477	0.471	0.474	0.475	0.017*	O/S_forg	0.006	0.008	0.010	0.008	0.006	−0.0004
P/C_forg						(1.84)	O/S_forg						(−0.75)
Net C/S_inst	0.039	0.075	0.101	0.072	−3.434	−3.473**	Net C/S_inst	−1.158	−1.074	0.111	−1.191	0.189	1.347**
Net C/S_inst						(−2.50)	Net C/S_inst						(2.29)
Net P/S_inst	0.053	0.085	0.174	0.404	−2.497	−2.550	Net P/S_inst	−0.511	−0.555	0.194	−1.446	0.647	1.158
Net P/S_inst						(−1.52)	Net P/S_inst						(1.28)
Net C/S_indi	0.001	0.038	0.110	0.356	2.097	2.087***	Net C/S_indi	0.774	0.964	0.294	0.378	0.223	−0.551***
Net C/S_indi						(8.23)	Net C/S_indi						(−3.93)
Net P/S_indi	−0.001	0.069	0.196	0.416	2.000	2.001***	Net P/S_indi	0.256	0.612	0.373	0.638	0.814	0.558***
Net P/S_indi						(6.86)	Net P/S_indi						(3.04)
Net C/S_forg	−0.0003	0.014	−0.002	−0.015	−0.119	−0.119***	Net C/S_forg	−0.006	−0.028	−0.049	−0.024	−0.010	−0.003
Net C/S_forg						(−3.70)	Net C/S_forg						(−0.15)
Net P/S_forg	−0.001	0.010	0.027	0.009	−0.042	−0.041	Net P/S_forg	0.012	0.003	−0.026	0.010	0.010	−0.002
Net P/S_forg						(−1.30)	Net P/S_forg						(−0.08)

Panel A: O/S quintile							Panel B: P/C quintile
	Low	2	3	4	High	High -low		Low	2	3	4	High	High -low
Ret	0.022	0.035	0.051	0.034	−0.027	−0.048	Ret	0.028	0.057	0.031	0.017	0.012	0.016
Ret	(0.76)	(1.35)	(2.13)	(1.49)	(−1.23)	(−1.35)	Ret	(1.03)	(2.47)	(1.36)	(0.72)	(0.42)	(0.41)
Mrk-adj Ret	0.152	0.202	0.191	0.165	0.050	−0.102	Mrk-adj Ret	−0.047	0.075	0.214	0.253	0.248	−0.295***
Mrk-adj Ret	(2.49)	(3.66)	(3.75)	(3.44)	(1.10)	(−1.35)	Mrk-adj Ret	(−0.82)	(1.49)	(4.29)	(5.00)	(4.49)	(−3.71)
LogSize	30.331	30.388	30.333	30.371	30.248	−0.083***	LogSize	30.199	30.364	30.371	30.405	30.359	−0.160***
LogSize						(−4.43)	LogSize						(−9.04)
BM	1.346	1.383	1.392	1.333	1.152	−0.194***	BM	1.301	1.312	1.347	1.337	1.276	0.026*
BM						(−13.86)	BM						(1.71)
STD	0.023	0.022	0.022	0.022	0.021	−0.002***	STD	0.023	0.022	0.022	0.022	0.022	0.001***
STD						(−17.05)	STD						(7.45)
LogTV	24.920	24.937	24.788	24.683	24.295	−0.624***	LogTV	24.682	24.735	24.711	24.755	24.762	−0.081***
LogTV						(−33.38)	LogTV						(−4.49)
LogShrtTV	20.917	20.982	20.842	20.737	20.494	−0.423***	LogShrtTV	20.813	20.901	20.810	20.868	20.878	−0.065
LogShrtTV						(−8.35)	LogShrtTV						(−1.25)
P/C	0.468	0.472	0.465	0.457	0.456	−0.012***	O/S	0.053	0.070	0.070	0.064	0.063	0.010***
P/C						(−3.46)	O/S						(4.39)
P/C_inst	0.467	0.471	0.464	0.457	0.456	−0.010***	O/S_inst	0.158	0.203	0.204	0.185	0.189	0.031***
P/C_inst						(−3.03)	O/S_inst						(3.53)
P/C_indi	0.455	0.464	0.467	0.453	0.452	−0.003	O/S_indi	0.044	0.054	0.055	0.053	0.054	0.010***
P/C_indi						(−0.68)	O/S_indi						(3.98)
P/C_forg	0.458	0.477	0.471	0.474	0.475	0.017*	O/S_forg	0.006	0.008	0.010	0.008	0.006	−0.0004
P/C_forg						(1.84)	O/S_forg						(−0.75)
Net C/S_inst	0.039	0.075	0.101	0.072	−3.434	−3.473**	Net C/S_inst	−1.158	−1.074	0.111	−1.191	0.189	1.347**
Net C/S_inst						(−2.50)	Net C/S_inst						(2.29)
Net P/S_inst	0.053	0.085	0.174	0.404	−2.497	−2.550	Net P/S_inst	−0.511	−0.555	0.194	−1.446	0.647	1.158
Net P/S_inst						(−1.52)	Net P/S_inst						(1.28)
Net C/S_indi	0.001	0.038	0.110	0.356	2.097	2.087***	Net C/S_indi	0.774	0.964	0.294	0.378	0.223	−0.551***
Net C/S_indi						(8.23)	Net C/S_indi						(−3.93)
Net P/S_indi	−0.001	0.069	0.196	0.416	2.000	2.001***	Net P/S_indi	0.256	0.612	0.373	0.638	0.814	0.558***
Net P/S_indi						(6.86)	Net P/S_indi						(3.04)
Net C/S_forg	−0.0003	0.014	−0.002	−0.015	−0.119	−0.119***	Net C/S_forg	−0.006	−0.028	−0.049	−0.024	−0.010	−0.003
Net C/S_forg						(−3.70)	Net C/S_forg						(−0.15)
Net P/S_forg	−0.001	0.010	0.027	0.009	−0.042	−0.041	Net P/S_forg	0.012	0.003	−0.026	0.010	0.010	−0.002
Net P/S_forg						(−1.30)	Net P/S_forg						(−0.08)

Note(s): This table reports the averages of the variables for the five portfolios based on the O/S (Panel A) and P/C (Panel B) ratios. Net buying option volume ratios are rescaled by multiplying by 1,000. For the difference between the highest and lowest quintiles, ***, ** and * denote statistical significance at the 1%, 5% and 10% levels, respectively. The sample period is from November 2014 to May 2022. The sample period for O/S_forg, P/C_forg, C/S_forg, P/S_forg, Net C/S_forg and Net P/S_forg is from October 2021 to May 2022

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