Information content of order imbalance in the index options market

2021 ◽  
Author(s):  
Ahmet Sensoy ◽  
John Omole
Keyword(s):  
Information Content ◽  
Options Market ◽  
Index Options ◽  
Order Imbalance

scholarly journals Predictability of OTC Option Volatility for Future Stock Volatility

2020 ◽  
Vol 12 (12) ◽  
pp. 5200
Author(s):  
Jungmu Kim ◽  
Yuen Jung Park
Keyword(s):  
Information Content ◽  
Unbiased Estimator ◽  
Implied Volatility ◽  
Realized Volatility ◽  
Stock Index ◽  
Options Market ◽  
Over The Counter ◽  
Index Options ◽  
Stock Volatility ◽  
Future Realized Volatility

This study explores the information content of the implied volatility inferred from stock index options in the over-the-counter (OTC) market, which has rarely been studied in the literature. Using OTC calls, puts, and straddles on the KOSPI 200 index, we find that implied volatility generally outperforms historical volatility in predicting future realized volatility, although it is not an unbiased estimator. The results are more apparent for options with shorter maturity. However, while implied volatility has strong predictability during normal periods, historical volatility is superior to implied volatility during a period of crisis due to the liquidity contraction of the OTC options market. This finding suggests that the OTC options market can play a role in conveying important information to predict future volatility.

Dividend Initiations, Information Content, Informed Trading in the Options Market and Stock Liquidity

2015 ◽  
Author(s):  
Balasingham Balachandran ◽  
Huu Nhan Duong ◽  
Michael Theobald ◽  
Yun (Tracy) Zhou
Keyword(s):  
Information Content ◽  
Informed Trading ◽  
Options Market ◽  
Stock Liquidity ◽  
Dividend Initiations

Is volatility risk priced in the KOSPI 200 index options market?

2009 ◽  
Vol 29 (9) ◽  
pp. 797-825 ◽  
Author(s):  
Sun-Joong Yoon ◽  
Suk Joon Byun
Keyword(s):  
Options Market ◽  
Index Options ◽  
Volatility Risk

Pairs Trading In The index Options Market

2021 ◽  
Author(s):  
Marianna Brunetti ◽  
Roberta De Luca
Keyword(s):  
Options Market ◽  
Pairs Trading ◽  
Index Options
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