The Informational Role of Options Trading Volume in the Australian Index Options Markets

2010 ◽  
Author(s):  
Xiaoming Li ◽  
Lawrence Rose ◽  
Klaus Buhr
Keyword(s):  
Trading Volume ◽  
Options Markets ◽  
Index Options ◽  
Options Trading

The informational role of option trading volume in the S&P 500 futures options markets

2004 ◽  
Vol 14 (16) ◽  
pp. 1197-1210 ◽  
Author(s):  
Ghulam Sarwar
Keyword(s):  
Trading Volume ◽  
Options Markets ◽  
Option Trading ◽  
Futures Options

Information Contents of Call-Put Options Trading Value Ratio

2007 ◽  
Vol 15 (2) ◽  
pp. 31-53
Author(s):  
Sol Kim
Keyword(s):  
Market Condition ◽  
Options Markets ◽  
Short Term ◽  
Index Options ◽  
Put Options ◽  
Information Contents ◽  
Pooling Equilibrium ◽  
Options Trading ◽  
S Model

This paper investigates the lead-lag relationship between the call-put options trading value ratio and the KOSPI 200 returns using Chen, Lung, and Tay (2005, 2006)’s model. We report the evidence conSistent with a pooling equilibrium or that informed trades are executed in both equity and options markets when using all options. That is, KOSPI 200 index options and KOSPI 200 are closely interrelated. However, in case of using the short-term or out-of-the-money options, call-put oPtions trading value ratio uni-directionally leads KOSPI 200 index returns. Also under the volatile market condition, the lead effect of call-put options trading value ratio to KOSPI 200 index returns becomes stronger.

scholarly journals Options Trading Costs Are Lower than You Think

2020 ◽  
Vol 33 (11) ◽  
pp. 4973-5014 ◽  
Author(s):  
Dmitriy Muravyev ◽  
Neil D Pearson
Keyword(s):  
High Frequency ◽  
Trading Volume ◽  
Fair Value ◽  
Price Impact ◽  
Trading Strategies ◽  
Trading Costs ◽  
Options Markets ◽  
Price Changes ◽  
Options Trading ◽  
Effective Spread

Abstract Conventional estimates of the costs of taking liquidity in options markets are large. Nonetheless, options trading volume is high. We resolve this puzzle by showing that options price changes are predictable at high frequency, and many traders time executions by buying (selling) when the option fair value is close to the ask (bid). Effective spreads of traders who time executions are less than 40% of the size of conventional measures, and the overall average effective spread is one-quarter smaller than conventional estimates. Price impact measures are also affected. These findings alter conclusions about the after-cost profitability of options trading strategies.

The information content of the volatility index options trading volume

2021 ◽  
Author(s):  
Chen Gu ◽  
Xu Guo ◽  
Alexander Kurov ◽  
Raluca Stan
Keyword(s):  
Information Content ◽  
Trading Volume ◽  
Index Options ◽  
Volatility Index ◽  
Options Trading

The Informational Role of Trade Duration: The Case of an Index Options Market

2013 ◽  
Author(s):  
Doojin Ryu ◽  
Kee H. Chung
Keyword(s):  
Options Market ◽  
Index Options

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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