Does the early bird catch the worm? The information content of Taiwan’s index option trading in the early 15-min pre-opening session

2017 ◽  
Vol 41 ◽  
pp. 168-189
Author(s):  
Wenchien Liu ◽  
Wen-Liang G. Hsieh ◽  
Anthony H. Tu
2005 ◽  
Vol 13 (1) ◽  
pp. 99-127
Author(s):  
Jay M. Chung ◽  
Jae Keun Kim

We examine the argument of the Financial Supervisory Service that the behavior of the Individual Investors to buy an out-of-the-money option is excessively speculative. The FSS reported that the individual investors incurred huge losses in the trading of KOSPI200 index options for the years 2002 and 2003. But since the sample period is relatively short, the argument does not seem fully convincing. Using a longer period data from July 1997 to December 2003, we reconfirm the huge losses of the Individual investors and also find that a tendency of individual investors losing money in association with option trading perSisted during the longer period. The individual investors chose out-of-the money options with short time to maturity, that are cheap and thus are expected to make huge profits with very low probabilities. Finally, we tind that out-ot-the money options with short time to maturity turn out to be in general priced higher than what the Korea Stock Exchange model suggests. The practice of purchasing out-of-the-money options for the reason of cheap prices and huge profit possibilities can be regarded as being excessively speculative. Due to overpricing, the individual investors persistently incurred some losses.


Author(s):  
Tarun Chordia ◽  
Alexander Kurov ◽  
Dmitriy Muravyev ◽  
Avanidhar Subrahmanyam
Keyword(s):  

2020 ◽  
Author(s):  
Tarun Chordia ◽  
Alexander Kurov ◽  
Dmitriy Muravyev ◽  
Avanidhar Subrahmanyam

Do order flows in index derivatives play an informational role? Weekly index put order flow on the International Securities Exchange positively and robustly predicts weekly S&P 500 index returns. This result obtains mainly for net put buying and is stronger in high VIX periods and in periods following macroeconomic announcements. We explore rationales for our findings, which include investor sentiment, the notion that market makers trade on information in options markets, and option-based risk protection strategies used by retail investors. The last explanation accords best with our analysis. This paper was accepted by Tyler Shumway, finance.


Author(s):  
T. L. Hayes

Biomedical applications of the scanning electron microscope (SEM) have increased in number quite rapidly over the last several years. Studies have been made of cells, whole mount tissue, sectioned tissue, particles, human chromosomes, microorganisms, dental enamel and skeletal material. Many of the advantages of using this instrument for such investigations come from its ability to produce images that are high in information content. Information about the chemical make-up of the specimen, its electrical properties and its three dimensional architecture all may be represented in such images. Since the biological system is distinctive in its chemistry and often spatially scaled to the resolving power of the SEM, these images are particularly useful in biomedical research.In any form of microscopy there are two parameters that together determine the usefulness of the image. One parameter is the size of the volume being studied or resolving power of the instrument and the other is the amount of information about this volume that is displayed in the image. Both parameters are important in describing the performance of a microscope. The light microscope image, for example, is rich in information content (chemical, spatial, living specimen, etc.) but is very limited in resolving power.


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