Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/336775 
Year of Publication: 
2026
Series/Report no.: 
CFR Working Paper No. 26-02
Publisher: 
University of Cologne, Centre for Financial Research (CFR), Cologne
Abstract: 
We uncover momentum and reversal patterns in half-day option returns that persist for up to at least 20 business days, with economic magnitudes of 0.22% to 0.45% per half-day. Specifically, returns show strong momentum within the same period (e.g., intraday-to-intraday) but reverse sharply across opposite periods (e.g., intraday-to- overnight). These patterns increase over time, are robust to various delta-hedging schemes and option selection criteria, and persist across different subsamples. Mo- mentum and reversal strengthen when market makers actively manage capacity constraints during intraday-overnight transitions, indicating supply-side constraints drive predictability.
Subjects: 
Option return momentum
Option return reversal
Intraday option returns
JEL: 
G12
G13
G14
G11
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.