Abstract
Recent research claims that retail options traders experience losses on average. Notably, Bryzgalova, Pavlova and Sikorskaya (2023) (BPS) claim trades executed in single-leg improvement mechanisms (SLIMs), their proxy for retail trades, suffer losses. The BPS performance estimates are sensitive to their estimates of trade direction and use of quotes prior to expiration, rather than expiration values, to
compute performance. Using expiration values and Cboe data that include trade directions, we find that Cboe customer SLIM trades are on average profitable. The similarity between trades on the Cboe and non-Cboe exchanges suggests that SLIM trades on non-Cboe exchanges also are profitable.
Keywords: retail options trading, options trading, price improvement auctions, single-leg improvement mechanisms, retail investment performance
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