If all call-options are expensive and all put-options are cheap, does the market expect the stock to rise?
Prediction markets are all the buzz (Cass Sunstein or Robin Hanson), ranging from sports to macro indicators. Heck, even Christopher Cox, chairman of the U.S. Securities and Exchange Commission is discussing wheither to police them.
Can we learn something from the derivatives market?
On FStat, we compare the simulated price of an option to it's market price. The ratio of the two gives a tilt. If the market price is higher than the simulated price, the tilt is above 100%. If the market price is lower, the tilt is less than 100%.
In the above picture, we can see the calls are expensive (i.e. market price > simulated price), but the put's are fairly valued.
Wheither or not this might be a decent predictor remains to be seen, but it'll be fun to find out.