  We investigate the use of the normalized imbalance between option volumes
corresponding to positive and negative market views, as a predictor for
directional price movements in the spot market. Via a nonlinear analysis, and
using a decomposition of aggregated volumes into five distinct market
participant classes, we find strong signs of predictability of excess market
overnight returns. The strongest signals come from Market-Maker volumes. Among
other findings, we demonstrate that most of the predictability stems from
high-implied-volatility option contracts, and that the informational content of
put option volumes is greater than that of call options.
