Volatility information trading in the option market
This paper investigates informed trading on stock volatility in the option market. We construct
non‐market maker net demand for volatility from the trading volume of individual equity …
non‐market maker net demand for volatility from the trading volume of individual equity …
Trading on the information content of open interest: Evidence from the US equity options market
R Bhuyan, M Chaudhury - Derivatives Use, Trading & Regulation, 2005 - Springer
This paper uses daily closing data on Chicago Board of Options Exchange (CBOE) options
of 30 stocks during February to July, 1999, to investigate whether options open interest …
of 30 stocks during February to July, 1999, to investigate whether options open interest …
Options markets, self-fulfilling prophecies, and implied volatilities
JA Cherian, RA Jarrow - Review of Derivatives Research, 1998 - Springer
This paper answers the following often asked question in option pricing theory: if the
underlying asset's price does not satisfy a lognormal distribution, can market prices satisfy …
underlying asset's price does not satisfy a lognormal distribution, can market prices satisfy …
[PDF][PDF] Volatility trading in option market: How does it affect where informed traders trade
G Capelle-Blancard - University of Paris, Working Paper, 2001 - efmaefm.org
Although it is widely accepted that options implied volatility is a good estimate of market
expectations, very little work has focused on the impact of volatility trading on market …
expectations, very little work has focused on the impact of volatility trading on market …
Volume, volatility and information linkages in the stock and option markets
KY Ho, L Zheng, Z Zhang - Review of Financial Economics, 2012 - Elsevier
This paper examines the relationship between option trading activity and stock market
volatility. Although the option market is uniquely suited for trading on volatility information …
volatility. Although the option market is uniquely suited for trading on volatility information …
Maturity effect on bid-ask spreads of OTC currency options
The paper ascertains the relation between bid-ask spreads and the contract maturity of OTC
currency options. Contrary to previous findings in the futures market, spreads of currency …
currency options. Contrary to previous findings in the futures market, spreads of currency …
The dynamics in the spot, futures, and call options with basis asymmetries: an intraday analysis in a generalized multivariate GARCH-M MSKST framework
KL Wang, ML Chen - Review of Quantitative Finance and Accounting, 2007 - Springer
The main purpose of the study is to explore the dynamic relationship among the TAIEX spot,
futures, and options markets by proposing an innovative multivariable GARCH-M MSKST …
futures, and options markets by proposing an innovative multivariable GARCH-M MSKST …
Delta and vega exposure trading in stock and option markets
H Maraachlian, T Rourke - Journal of Financial Markets, 2014 - Elsevier
This paper introduces an empirical method to evaluate the composition of trading activity in
stock and option markets that is based on signed trade count imbalances in these markets …
stock and option markets that is based on signed trade count imbalances in these markets …
[HTML][HTML] Marchés dérivés et trading de volatilité
G Capelle-Blancard* - Revue économique, 2003 - cairn.info
Résumé L'objectif de cet article est d'examiner sous quelles conditions les marchés
d'options facilitent l'intervention des investisseurs informés. Plus précisément, nous étudions …
d'options facilitent l'intervention des investisseurs informés. Plus précisément, nous étudions …
[PDF][PDF] Research on co-movement effects of conglomerate stock prices and derived investment strategies
HF Hsiao, SH Lin, AC Hsu - African Journal of Business …, 2011 - academicjournals.org
This study investigated the co-movement in stock indices between Taiwan business group
members to find investment arbitrage portfolios. Two investment strategies, called co …
members to find investment arbitrage portfolios. Two investment strategies, called co …