---
title: Options on Drugs: Industry Exposure and Option Anomalies
url: https://www.ml-quant.com/papers/ssrn/5245162/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 5245162
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5245162
featured: 2025-06-25
citations: 0
topic: Derivatives & Volatility
---


# Options on Drugs: Industry Exposure and Option Anomalies

Pharmaceutical stocks offer higher returns when writing options due to their high growth potential and the unpredictability of drug trials and development.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5245162
- Identifier: SSRN 5245162
- Released: 2025-05-07
- First featured: Quant Letter No. 103 (2025-06-25): https://www.ml-quant.com/issues/2025-06-25/
- Citations (Semantic Scholar): 0
- Published in: not yet
- Topic: Derivatives & Volatility

## Related

- [Hedge Funds and Low Beta](https://www.ml-quant.com/papers/repec/eee-reveco-v-93-y-2024-i-pa-p-1507-1525/): Low beta anomaly yields higher returns for hedge funds than mutual funds, particularly for less skilled managers.
- [Negative Premium in A-Share Market](https://www.ml-quant.com/papers/ssrn/4783616/): The research reveals that stocks with higher volatility have significantly lower returns, an anomaly that can't be explained by market volatility or ambiguity aversion.
- [Volatility Risk Pricing](https://www.ml-quant.com/papers/ssrn/4785760/): The paper recommends using variance-dependent pricing kernels for option valuation, as they resolve anomalies, fit options well, and provide accurate estimates of equity and variance risk premiums.
- [Anomalies as Hedge Fund Factors](https://www.ml-quant.com/papers/ssrn/4709472/): A nine-factor model, which includes five anomaly factors, is effective in explaining hedge fund returns, highlighting the need for regular factor updates in the hedge fund sector.
- [Common Ownership of Stocks & the Low Volatility Anomaly](https://www.ml-quant.com/papers/ssrn/4626091/): The study shows that the low volatility anomaly in stock prices is connected to mutual funds performance evaluation against benchmark indexes, as mutual fund managers' heavy investment in certain stocks leads to higher trade volumes and lower volatility.
- [Risk Revisited](https://www.ml-quant.com/papers/ssrn/4825844/): The study identifies recency, cluster, and sign as three factors shaping investors' risk perceptions of a stock, influencing trading volume and future volatility.