Block trades in options markets

2019 ◽  
Vol 39 (8) ◽  
pp. 985-1007
Author(s):  
Eleni Gousgounis ◽  
Sayee Srinivasan
Keyword(s):  
Options Markets ◽  
Block Trades

Do Institutions Receive Comparable Execution in the NYSE and Nasdaq Markets? A Transaction Study of Block Trades

CFA Digest ◽  
1998 ◽  
Vol 28 (2) ◽  
pp. 48-49
Author(s):  
Johann deVilliers
Keyword(s):  
Block Trades

Memorandum on Block Trades Analysis

2011 ◽  
Author(s):  
Division of Risk, Strategy and Financial Innovation
Keyword(s):  
Block Trades

Slow Di ffusion of Information and Price Momentum in Stocks: Evidence from Options Markets

2013 ◽  
Author(s):  
Zhuo Chen ◽  
Andrea Lu
Keyword(s):  
Options Markets ◽  
Price Momentum

Blocktrades in OTC Options Markets: Price Impact and Liquidity Effects

2019 ◽  
Author(s):  
Ruediger Kiesel ◽  
Alessio Pietrobono
Keyword(s):  
Price Impact ◽  
Options Markets

scholarly journals Price Mean Reversion, Seasonality, and Options Markets

2015 ◽  
Vol 98 (3) ◽  
pp. 707-725 ◽  
Author(s):  
Chad E. Hart ◽  
Sergio H. Lence ◽  
Dermot J. Hayes ◽  
Na Jin
Keyword(s):  
Mean Reversion ◽  
Options Markets

Informed trading around merger and acquisition announcements: Evidence from the UK equity and options markets

2010 ◽  
Vol 31 (8) ◽  
pp. 703-726 ◽  
Author(s):  
Spyros Spyrou ◽  
Andrianos Tsekrekos ◽  
Georgia Siougle
Keyword(s):  
Merger And Acquisition ◽  
Informed Trading ◽  
Options Markets ◽  
Acquisition Announcements ◽  
The Uk

Stealth Trading in Options Markets

2007 ◽  
Vol 42 (1) ◽  
pp. 167-187 ◽  
Author(s):  
Amber Anand ◽  
Sugato Chakravarty
Keyword(s):  
Market Share ◽  
Price Discovery ◽  
High Volume ◽  
Medium Size ◽  
Options Markets ◽  
Information Share ◽  
Trade Size ◽  
Informed Traders

AbstractWe investigate how price discovery occurs in the options markets through traders' trade size choice. By employing transactions data on all options traded on a sample of 100 firms, we show that informed traders fragment their orders into small (medium) trades for low (high) volume contracts. We also find that almost 60% of the price discovery occurs in the exchange with the largest market share for a given option, where informed traders favor medium size trades. Upon examining distinct option series for a given stock, we find that at-the-money calls display the highest information share.

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