Determinants of Volume in the Options Market
Author | : Joel Kaplan |
Publisher | : |
Total Pages | : 60 |
Release | : 1976 |
Genre | : |
ISBN | : |
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Author | : Joel Kaplan |
Publisher | : |
Total Pages | : 60 |
Release | : 1976 |
Genre | : |
ISBN | : |
Author | : Terrence F. Martell |
Publisher | : |
Total Pages | : 28 |
Release | : 1985 |
Genre | : Commodity exchanges |
ISBN | : |
Author | : Terrence F. Martell |
Publisher | : |
Total Pages | : 15 |
Release | : 1987 |
Genre | : |
ISBN | : |
Author | : Laurent Deville |
Publisher | : |
Total Pages | : 35 |
Release | : 2005 |
Genre | : |
ISBN | : |
This paper examines the determinants of the time it takes for an index options market to be brought back to efficiency after put-call parity deviations, using intraday transactions data from the French CAC 40 index options over the August 2000 - July 2001 period. We address this issue through survival analysis which allows us to characterize how differences in market conditions influence the expected time before the market reaches the no-arbitrage relationship. We find that moneyness, maturity, trading volume as well as trade imbalances in call and put options, and volatility are important in understanding why some arbitrage opportunities disappear faster than others. After controlling for differences in the trading environnement, we find evidence of a negative relationship between the existence of ETFs on the index and the time to efficiency.
Author | : Olivier Gueant |
Publisher | : CRC Press |
Total Pages | : 302 |
Release | : 2016-03-30 |
Genre | : Business & Economics |
ISBN | : 1498725481 |
This book is among the first to present the mathematical models most commonly used to solve optimal execution problems and market making problems in finance. The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making presents a general modeling framework for optimal execution problems-inspired from the Almgren-Chriss app
Author | : |
Publisher | : |
Total Pages | : 49 |
Release | : 2006 |
Genre | : |
ISBN | : |
Author | : Alok Kumar |
Publisher | : |
Total Pages | : 41 |
Release | : 2008 |
Genre | : |
ISBN | : |
This paper examines the determinants of trading volume for individual stocks in the emerging India's stock markets. Our results demonstrate that stock-specific characteristics explain a significant portion of the variation in Indian stock trading volume. We show that weekly turnover, expressed as a percentage of shares outstanding, is significantly related to firm's alpha and beta estimated from OLS market model, the standard deviation of residuals from the OLS market model, average price, size, first order auto covariance of returns, its institutional ownership and whether or not options trade is permitted on this stock. Stock trading volume first increases in the level of institutional ownership, reaching its peak at 33% (47%) respectively for the BSE (NSE) stocks and then decreases. We find the evidence that past price extremes influence investors' trading decisions. We document that trading volume is higher when a stock trades above the highest or below the lowest price attained during a 52 weeks benchmark period and then gradually subsides. This result suggests that behavioral factors affect investors' trading decisions in the Indian equity markets. The compulsory rolling settlement had a significant impact on stock's trading volume. We also saw that across a broad sample of stocks, trading volume for a firm depends on which industry the particular firm belongs.
Author | : John C. Cox |
Publisher | : Prentice Hall |
Total Pages | : 518 |
Release | : 1985 |
Genre | : Business & Economics |
ISBN | : |
Includes the first published detailed description of option exchange operations, the first published treatment using only elementary mathematics and the first step-by-step procedure for implementing the Black-Scholes formula in actual trading.
Author | : Allen M. Poteshman |
Publisher | : |
Total Pages | : 28 |
Release | : 2009 |
Genre | : |
ISBN | : |
We find strong evidence of information transmission from the options market to underlying stock prices. Taking advantage of a unique dataset from the Chicago Board Options Exchange, we construct put to call volume ratios for underlying stocks, using only volume initiated by buyers to open new positions. Performing daily cross-sectional analyses from 1990 to 2001, we find that buying stocks with low put/call ratios and selling stocks with high put/call ratios generates an expected return of 40 basis points per day and 1 percent per week. This result is present during each year of our sample period, and is not affected by the exclusion of earnings announcement windows. Moreover, the result is stronger for smaller stocks, indicating that the options market may be a more important avenue for information transmission for stocks with less efficient information flow. Our analysis also sheds light on the type of investor behind the informed option trading. Specifically, we find that option trading from customers of full service brokers provides the strongest predictability, while that from firm proprietary traders is not informative. Furthermore, our analysis shows that while public customers on average trade in the options market as contrarians -- buying fresh new puts on stocks that have done well and calls on stocks that have done poorly, firm proprietary traders exhibit the opposite behavior. Finally, in contrast to the equity options market, we do not find any evidence of informed trading in the index options market.
Author | : Stewart Dimont Hodges |
Publisher | : Manchester University Press |
Total Pages | : 202 |
Release | : 1990 |
Genre | : Options (Finance) |
ISBN | : 9780719030093 |