1. The Information Imbedded in the Trading Volume of Currency Options Yaffa Machnes Graduate School of Business Administration Bar Ilan University ISRAEL Email: machny@mail.biu.ac.ilmachny@mail.biu.ac.il fax: 03-5353182 Tel: 08-9468544

2. References Anthony, J.H. (1988). The interrelation of stock and option market trading-volume data. Journal of Finance, 43, 949-961. Chakravarty, S., Gulen, H., & Mayhew, S. (2004). Informed trading in stock and option markets. Journal of Finance, June; 59(3): 1235-57.Chakravarty, S.Gulen, H.Mayhew, S.Journal of Finance, Easley, D., O'Hara, M., & Srinivas, P. S. (1998). Option volume and stock prices: Evidence on where informed traders trade. Journal of Finance, 53, 431-465. Sarwar, G. (2003). The interrelation of price volatility and trading volume of currency options. The Journal of Futures Markets, 23(7), 681-700.

3. The Model - "representative" exchange rate on day t - total volume of calls on US $ traded in TASE on day t - total volume of puts on US $ traded in TASE on day t

4. Table 1: Exchange Rate as a Function of Trading Volume of $ US Options: Augmented Dickey- Fuller Test Equation. Least Squares Method after logarithmic transformation. Regression coefficients multiplied by 10. Previous trading day On the trading day Explanatory variable -33.2 (2.5) -71.6 (4.3) Constant 8.8 (3.3) 19.9 (6.2) Calls volume -5.8 (1.9) -13.6 (5.2) Puts volume 18.919.1F-statistics 0.010.04R squared 1189964n 1.901.93Durbin Watson Numbers in parenthesis are t values

5. Table 2: Exchange Rate as a Function of PCR and Trading Volume of $ US Options: Augmented Dickey-Fuller Test Equation. Least Squares Method after logarithmic transformation. Regression coefficients multiplied by 10. Previous trading day On the trading day Explanatory variable -33.5 (2.3) -74.7 (4.3) Constant 2.9 (2.1) 6.2 (3.7) Calls+puts volume -6.5 (2.9) -15.3 (5.7) Put/call ratio 5.25.4F 0.010.04R squared 1189964n 1.981.93Durbin- Watson Numbers in parenthesis are t values