Do call prices and the underlying stock always move in the same direction?

This article empirically analyzes some properties shared by all one-dimensi onal diffusion option models. Using S&P 500 options, we find that sampled i ntraday (or interday) call (put) prices often go down (up) even as the unde rlying price goes up, and call and put prices often increase, or decrease, together. Our results are valid after controlling for time decay and market microstructure effects. Therefore one-dimensional diffusion option models cannot be completely consistent with observed option price dynamics; option s are nor redundant securities, nor ideal hedging instruments-puts and the underlying asset prices may go down together.