One session options: Playing the announcement lottery?

Abstract

One session options (OSOs) fulfill the criteria for a lottery‐type asset; a low price coupled with a relatively small probability of a large payoff. We examine trading behavior for intraday OSO contracts on the Australian 3‐Year Treasury bond future. We find that volume is higher on days with a major macroeconomic announcement, and concentrated in the time before data release. Volume tends to be higher when there is a greater difference of opinion concerning the announcement outcome or when the level of economic policy uncertainty is higher. We propose that ‘differences of opinions’ best explain OSO trading behavior.