Consolidating information in option transactions

Consolidating information in option transactions

Underlying each stock trades hundreds of options at different strike prices and maturities. The order flows from these option transactions reveal important information about the underlying stock price. How to aggregate the trade information of different option contracts underlying the same stock pre...

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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 2011
Subjects:
Options order flow
information aggregation
delta
vega
lead-lag relations
price discovery
OPRA
QQQQ
Finance and Financial Management
Portfolio and Security Analysis
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/5215
https://ink.library.smu.edu.sg/context/lkcsb_research/article/6214/viewcontent/Consolidating_info_2011_Mar_wp.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/lkcsb_research/5215
https://ink.library.smu.edu.sg/context/lkcsb_research/article/6214/viewcontent/Consolidating_info_2011_Mar_wp.pdf

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