Big 'whale' investors in the options market are actually shouting about their trades to trick regular people, not hiding them.
March 24, 2026
Original Paper
WhaleStreetBets
SSRN · 6320279
The Takeaway
Standard market theory assumes large institutional investors break up orders to remain anonymous and prevent prices from moving against them. This paper finds the opposite: 'whales' use massive, visible trades as a signaling mechanism to trigger retail 'herding,' creating momentum that generates significant abnormal returns.
From the abstract
Beginning in 2020, options markets experienced a sharp increase in exceptionally large trades (colloquially termed “whales”) despite decades of market microstructure theory predicting that large investors fragment orders to hide information. We examine this phenomenon using tick-level options trade and quote data covering all U.S. equities and ETFs from 2014 through 2025. We develop three complementary whale identification approaches based on absolute size, relative size, and open interest ratio