Advertising & Volume
It is well known that investors have limited attention. Every day they have to consider an enormous number of potential investments and it is just too much to take in. But there hasn't been much research showing how traders and investors react when they are reminded of particular firms (reactions to earnings announcements have been very well studied but that is a situation where people are watching the news on their own and don't need an external reminder). But now a recent study has shown that even a very quick attention grabbing prod can produce a surprisingly large effect.
Liaukonyte and Zaldokas looked at how television advertising affected the trading volume of the companies that appeared on the commercial. Their data contained 326,000 ads for 301 firms. They found that their was an 8% increase in Google searches for financial information about the advertised company in the 15 minutes following the commercial being played. This translated to significantly increased trading volume. Up to 0.8% of daily volume can be attributed to this reaction.
Although the correlation between volume and volatility is very strong, I doubt that the effect of advertising is big enough to make trading options profitable on it alone. However the advertising related searches do lead to (slight) over-night returns which reverse the next day, so it might be worthwhile to include the effect in a larger statistical arbitrage strategy.
The next question to answer is, "who watches TV and the Googles the financials of advertisers?". Probably the consumers of light beer, Viagra and trucks.