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In several countries, classical options markets coexist with markets for bank-issued options (warrants) that are sold to retail investors. An interesting question in such cases is whether these bank-issued options merely reflect the options market information about future volatility or whether they themselves contribute to volatility discovery. We find that the options market is the informational leader in terms of volatility discovery, but the aggregate warrants market also makes significant contributions to volatility discovery. Looking at the intra-day volatility quoting behavior, warrant issuers tend to increase their quotes relative to the options markets. K E Y W O R D Sbank-issued warrants, information share, options, retail investors, VDAX-NEW, volatility discovery

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