Aggregating information in option transactions

• 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
• Institution: Singapore Management University

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...