This study examines the effect of the first introduction of Greek stock options (Greek Telecommunication Organisation, Intracom, National Bank of Greece and Alpha Bank) on stock prices and volatility for the period 1999 to 2002. We examine the asymmetric information hypothesis using a standard event study methodology and asymmetric Generalized Autoregressive Conditional Heteroscedasticity (GARCH) type models. Event study results indicate that abnormal returns existed in the prelisting period, but tend to disappear in the post listing period. Asymmetric component Threshold Generalized Autoregressive Conditional Heteroscedasticity (TGARCH) models with Generalized Error Distribution (GED) show that the introduction of stock options has led to increased volatility (positive effect) for Greek Telecommunication Organisation, Intracom and National Bank of Greece only (Alpha Bank shows a positive but insignificant effect). We argue that our results provide support to the asymmetric information hypothesis, suggesting that the Greek market has become more efficient after the introduction of stock options.