Aggregating information in option transactions

Aggregating information in option transactions

The listed options market in the United States trades hundreds of option contracts across different strikes and expirations for each underlying stock. The order flow from these option transactions reveals important information about the underlying stock price movement and its volatility variation. H...

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Bibliographic Details
Main Authors: Holowczak, Richard, HU, Jianfeng, WU, Liuren
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2014
Subjects:
Options order flow
information aggregation
delta
vega
lead-lag relations
price discovery
OPRA
Finance and Financial Management
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/3609
https://ink.library.smu.edu.sg/context/lkcsb_research/article/4608/viewcontent/SSRN_id1787407.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/lkcsb_research/3609
https://ink.library.smu.edu.sg/context/lkcsb_research/article/4608/viewcontent/SSRN_id1787407.pdf

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