The Informational Role of Option Trading Volume in Equity Index Options Markets

2005 ◽  
Vol 24 (2) ◽  
pp. 159-176 ◽  
Author(s):  
Ghulam Sarwar
Keyword(s):  
Trading Volume ◽  
Options Markets ◽  
Index Options ◽  
Option Trading ◽  
Equity Index

scholarly journals PRICE ANDVOLUME EFFECTS ASSOCIATED WITH CHANGES IN THE LQ 45 INDEX AND THE MSCI EQUITY INDEX LISTS

2003 ◽  
Vol 5 (3) ◽  
pp. 401
Author(s):  
A. Harijono
Keyword(s):  
Institutional Investors ◽  
Trading Volume ◽  
Stock Exchange ◽  
Share Price ◽  
Rule Based ◽  
Developed Markets ◽  
Portfolio Managers ◽  
Index Changes ◽  
Equity Index

This paper examines price and trading volume behavior surrounding announcements of changes in the composition of the liquidity (LQ) 45 and the Morgan Stanley Capital International (MSCI) Equity Index at the Jakarta Stock Exchange. Unlike listing studies in the developed markets, the announcements of the LQ45 Index changes have no impact on share price and trading volume. This may be due to the small role of Indonesian domestic institutional investors and purely rule-based characteristics of the LQ45 Index. On the contrary, the markets do respond to the changes in Indonesian stocks composition of the MSCI Equity Index. It seems that global portfolio managers, who dominate trading at the Jakarta Stock Exchange, rebalanced their portfolio when the changes in the MSCI Equity Index occurred because their performances are generally benchmarks to the return on the Index.

scholarly journals Options trading strategy based on ARIMA forecasting

2020 ◽  
Vol 4 (2) ◽  
pp. 111-127
Author(s):  
Pierre Rostan ◽  
Alexandra Rostan ◽  
Mohammad Nurunnabi
Keyword(s):  
Composite Index ◽  
Garch Model ◽  
Trading Strategy ◽  
Credit Crisis ◽  
Strike Price ◽  
Index Options ◽  
Content Type ◽  
Option Trading ◽  
Auto Regressive ◽  
Options Trading

Purpose The purpose of this paper is to illustrate a profitable and original index options trading strategy. Design/methodology/approach The methodology is based on auto regressive integrated moving average (ARIMA) forecasting of the S&P 500 index and the strategy is tested on a large database of S&P 500 Composite index options and benchmarked to the generalized auto regressive conditional heteroscedastic (GARCH) model. The forecasts validate a set of criteria as follows: the first criterion checks if the forecasted index is greater or lower than the option strike price and the second criterion if the option premium is underpriced or overpriced. A buy or sell and hold strategy is finally implemented. Findings The paper demonstrates the valuable contribution of this option trading strategy when trading call and put index options. It especially demonstrates that the ARIMA forecasting method is a valid method for forecasting the S&P 500 Composite index and is superior to the GARCH model in the context of an application to index options trading. Originality/value The strategy was applied in the aftermath of the 2008 credit crisis over 60 months when the volatility index (VIX) was experiencing a downtrend. The strategy was successful with puts and calls traded on the USA market. The strategy may have a different outcome in a different economic and regional context.

Intraday return inefficiency and long memory in the volatilities of forex markets and the role of trading volume

2018 ◽  
Vol 506 ◽  
pp. 433-450 ◽  
Author(s):  
Syed Jawad Hussain Shahzad ◽  
Jose Areola Hernandez ◽  
Waqas Hanif ◽  
Ghulam Mujtaba Kayani
Keyword(s):  
Long Memory ◽  
Trading Volume
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