{"title":"Effects of Social Media-Based Peer Opinions on the Prices of Cryptocurrency Options","authors":"Da-Hea Kim","doi":"10.1002/fut.70004","DOIUrl":null,"url":null,"abstract":"<div>\n \n <p>Using a text-based measure of peer opinions constructed from cryptocurrency-related social media posts, we find that peer opinions contain valuable information about the prices of cryptocurrency options. Bitcoin options exhibit a volatility smile, which becomes steeper when peer opinions become bearish. The risk-neutral skewness of Bitcoin returns implied by options prices becomes more negative in times of bearish opinions. The predictability of peer opinions for Bitcoin option prices remains robust after controlling for momentum, volatility, demand pressures, news effects, and other sentiment measures, and exhibits no evidence of reversal over time. This effect is pronounced when Bitcoin attracts high investor attention, more diverse opinions about Bitcoin are expressed on social media, and Bitcoin options are more actively traded. We find similar results for Ethereum options.</p>\n </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 10","pages":"1512-1543"},"PeriodicalIF":2.3000,"publicationDate":"2025-07-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Futures Markets","FirstCategoryId":"96","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1002/fut.70004","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
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Abstract
Using a text-based measure of peer opinions constructed from cryptocurrency-related social media posts, we find that peer opinions contain valuable information about the prices of cryptocurrency options. Bitcoin options exhibit a volatility smile, which becomes steeper when peer opinions become bearish. The risk-neutral skewness of Bitcoin returns implied by options prices becomes more negative in times of bearish opinions. The predictability of peer opinions for Bitcoin option prices remains robust after controlling for momentum, volatility, demand pressures, news effects, and other sentiment measures, and exhibits no evidence of reversal over time. This effect is pronounced when Bitcoin attracts high investor attention, more diverse opinions about Bitcoin are expressed on social media, and Bitcoin options are more actively traded. We find similar results for Ethereum options.
期刊介绍：
The Journal of Futures Markets chronicles the latest developments in financial futures and derivatives. It publishes timely, innovative articles written by leading finance academics and professionals. Coverage ranges from the highly practical to theoretical topics that include futures, derivatives, risk management and control, financial engineering, new financial instruments, hedging strategies, analysis of trading systems, legal, accounting, and regulatory issues, and portfolio optimization. This publication contains the very latest research from the top experts.
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