“…Prior studies have also examined implied volatility and skew changes prior to corporate announcements (Gharghori, Maberly, & Nguyen, ; Hao, ; Kim, Kim, & Seo, ; Lei, Wang, & Yan, ; Lin & Lu, ; Zhang, ). Augustin, Brenner, Grass, and Subrahmanyam () identify optimal strategies for informed traders in terms of option type, maturity, and strike price for different corporate news events and demonstrate empirically that their informed trading measures improve the predictability of these events.…”