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 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 Aggregate Price Impact of the Disposition Effect

2008 ◽  
Author(s):  
Hyuk Choe ◽  
Yunsung Eom
Keyword(s):  
Price Impact ◽  
Disposition Effect

The Price Impact of Large Hedging Trades

2009 ◽  
Author(s):  
Brian J. Henderson ◽  
Neil D. Pearson
Keyword(s):  
Price Impact

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

Arbitrage-Free Price-Update and Price-Impact Functions

2000 ◽  
Author(s):  
Werner Stanzl ◽  
Gur Huberman
Keyword(s):  
Price Impact

Profitable Price Impact: The Case of Convertible Bond Arbitrage

2019 ◽  
Author(s):  
Milad Nozari ◽  
Michael Pascutti ◽  
Heather Tookes
Keyword(s):  
Price Impact ◽  
Convertible Bond
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