Zusammenfassung:
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.
