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T16 · Control and behavior

Options and leverage

Does the member use options, and do option trades point the right way?

What would look suspicious

Informed traders favour options because leverage raises the payoff to private information.

Statistic

Option share of trades; signed CAR of the underlying after option trades

θ^16=1No∑i∈optionsdi CARi(1,21)\hat\theta_{16}=\frac1{N_o}\sum_{i\in\text{options}} d_i\,\mathrm{CAR}_i(1,21)

Inference

Kolari-Pynnonen adjusted test on option trades

Decision rule

Does not fit if no option trades. Fits if option trades earn significantly positive signed returns after adjustment. Otherwise open question.

Equivalence margin δ

0.5% per trade over 21 days (fixed before seeing the data)

Inputs

trades with asset typedaily returns of the underlying

Limitations

Disclosures rarely give strike, expiry or whether an option was written or bought, so direction is approximate.

Full derivation and algorithm: technical methodology (PDF), section T16.

Results across members

Fits patternOpen questionDoes not fitNot assessedScreening signal

0 fits · 7 open question · 234 do not fit · 5 not assessed (including 5 inconclusive for too few trades)

Distribution of member estimates (13 members)
-3.9%margin 0.5%16.7%

Highest estimates

0δEstimate
Laurel M. Lee16.7%
Deborah K. Ross10.7%
Dan Crenshaw4.9%
Pat Fallon3.8%
Austin Scott2.0%
Robert P. Bresnahan, Jr.1.4%
Alan Armstrong0.8%
Tommy Tuberville0.4%
Josh Gottheimer0.0%
Blake D. Moore-0.4%
Peter Welch-1.4%
Nancy Pelosi-2.5%

Members flagged by this test

MemberReadingEstimateHolm pSummary
Pat Fallon
Rep. · R-TX-4
Open question+3.82%0.49191 option trades (46% of all reported trades); the underlying moved +3.82% in the trade's favour over a month.
Laurel M. Lee
Rep. · R-FL-15
Open question+16.65%0.8214 option trades (17% of all reported trades); the underlying moved +16.65% in the trade's favour over a month.
Robert P. Bresnahan, Jr.
Rep. · R-PA-8
Open question+1.38%0.8534 option trades (1% of all reported trades); the underlying moved +1.38% in the trade's favour over a month.
Alan Armstrong
Sen. · R-OK
Open question0.8%–3 option trades (1% of all reported trades).
Dan Crenshaw
Rep. · R-TX-2
Open question4.9%–2 option trades (5% of all reported trades).
Deborah K. Ross
Rep. · D-NC-2
Open question10.7%–3 option trades (11% of all reported trades).
Austin Scott
Rep. · R-GA-8
Open question2.0%–2 option trades (2% of all reported trades).