Figure A.2: Abnormal Trading Volumes Before Announcement Dates - LOG SCALE Figure (A.2a) plots the average abnormal natural logarithm of trading volume for, respectively, all equity options (dashed line), call options (solid line) and put options (dotted line), over the 30 days preceding the announcement date. Volume is defined as the number of option contracts. Figure (A.2b) reflects the average cumulative abnormal trading volume for all options (dashed line), call options (solid line) and put options (dotted line) over the same event period. Figures (A.2c) and (A.2d) plot the average abnormal and cumulative abnormal trading volume for call options in M&A transactions that are either cash-financed (solid line) or stock-financed (dashed line), over the 30 days preceding the announcement date.

Source: OptionMetrics. (a) (b) Average Cumulative Abnormal Volume 0 Average Abnormal Log-Volume .5 1 Average Cumulative Abnormal Log Volume 0 5 10 15 1.5 Average Abnormal Log-Volume -30 -20 -10 0 -30 -20 Event Time All -10 0 Event Time Call Put All (c) Call Put (d) Average Cumulative Abnormal Volume 0 Average Abnormal Log Volume .5 1 Average Cumulative Abnormal Log Volume 0 5 10 15 1.5 Average Abnormal Volume -30 -20 -10 0 -30 Event Time Cash -20 -10 Event Time Stock Cash 80 Stock 0 .