Transaction Costs and Stochastic Dominance Efficiency in the Index Futures Options Market

2006 ◽  
Author(s):  
Michal Czerwonko ◽  
Stylianos Perrakis
Keyword(s):  
Transaction Costs ◽  
Stochastic Dominance ◽  
Options Market ◽  
Index Futures ◽  
Futures Options

scholarly journals Determinants of Violations in the SET50 Index Options Pricing Relationships: Put-Call-Futures Parity and Box Spread Tests

2018 ◽  
Vol 14 (3) ◽  
pp. 1 ◽  
Author(s):  
Woradee Jongadsayakul
Keyword(s):  
Transaction Costs ◽  
Risk Premium ◽  
Tobit Model ◽  
Options Pricing ◽  
Options Market ◽  
Index Options ◽  
Exercise Price ◽  
Daily Data ◽  
Before And After ◽  
Contract Specification

Although SET50 Index Options, the only option product on Thailand Futures Exchange, has been traded since October 29, 2007, it has faced the liquidity problem. The SET50 Index Options market must offer a risk premium to compensate investors for liquidity risk. It may cause violations in options pricing relationships. This research therefore uses daily data from October 29, 2007 to December 30, 2016 to compare the violations in SET50 Index Options pricing relationships before and after change in contract specification on October 29, 2012 and investigate determinants of these violations using Tobit model. Two tests of SET50 Index Options pricing relationships, Put-Call-Futures Parity and Box Spread, are employed. The test results of Put-Call-Futures Parity show that the percentage and baht amount of violations in many cases are greater in the period before the modification of SET50 Index Options. Without transaction costs, we also see more Box Spread violations before contract adjustment. However, after taking transaction costs into account, there are more percentage and baht amount of Box Spread violations in the later time period. The estimation of Tobit model shows that the violation sizes of both Put-Call-Futures Parity and Box Spread, excluding transaction costs, depend on the liquidity of SET50 Index Options market measured by option moneyness and open interest. The SET50 Index Options contract specification, especially exercise price, also significantly affects the size of violations, though the direction of a relationship is not cleared.

scholarly journals Intraday information from S&P 500 Index futures options

2019 ◽  
Vol 42 ◽  
pp. 29-55
Author(s):  
Kian Guan Lim ◽  
Ying Chen ◽  
Nelson K.L. Yap
Keyword(s):  
Index Futures ◽  
Futures Options

The effect of option transaction costs on informed trading in the options market around earnings announcements

2020 ◽  
Vol 47 (5-6) ◽  
pp. 615-644
Author(s):  
Suresh Govindaraj ◽  
Yubin Li ◽  
Chen Zhao
Keyword(s):  
Transaction Costs ◽  
Earnings Announcements ◽  
Informed Trading ◽  
Options Market

The Pricing of Australian Index Futures Contracts with Taxes and Transaction Costs

1998 ◽  
Vol 23 (1) ◽  
pp. 57-81 ◽  
Author(s):  
Garry J. Twite
Keyword(s):  
Transaction Costs ◽  
Futures Contracts ◽  
Index Futures

The Favorite/Long-shot Bias in S&P 500 and FTSE 100 Index Futures Options: The Return to Bets and the Cost of Insurance

2003 ◽  
Author(s):  
Stewart D. Hodges ◽  
Robert George Tompkins ◽  
William T. Ziemba
Keyword(s):  
Index Futures ◽  
Futures Options ◽  
The Cost

The Favorite-Longshot Bias in S&P 500 and FTSE 100 Index Futures Options: The Return to Bets and the Cost of Insurance

2012 ◽  
pp. 503-522
Author(s):  
Robert G. Tompkins ◽  
William T. Ziemba ◽  
Stewart D. Hodges
Keyword(s):  
Index Futures ◽  
Futures Options ◽  
The Cost
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