Desmarais Global Finance Research Centre (DGFRC) Seminar: Pasquale Della Corte
Pasquale Della Corte
Imperial College London
FX Option Volume
Date: Friday, March 20, 2026
Time: 10:30-11:45 am
Location: Bronfman Bldg. (1001 Sherbrooke St. West), Room 245
All are cordially invited to attend.
Abstract:
We study the predictive power of foreign exchange option volume for future exchange rate returns. Using over-the-counter option trades with counterparty identities and contract characteristics, we document that higher option volume predicts a depreciation of the foreign currency relative to the US dollar, especially when informed investors are more concentrated, dollar demand is high, and options offer more leverage. These findings support an asymmetric information model in which informed investors choose to trade in the option market to exploit informational advantages. Additionally, investors with more dealer connections, broader currency coverage, larger trades, and stronger past performance exhibit superior forecasting skill.
