Intraday information from S&P 500 index futures options

Intraday information from S&P 500 index futures options

In this paper we employ intraday transaction prices of liquid E-mini S&P 500 index futuresoptions to form 10-minutes ahead risk-neutral skewness forecasts and show profitable optionstrading strategy net of transaction costs. We do not find profitable trading based on 10-minutesahead risk-neutral...

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Bibliographic Details
Main Authors: LIM, Kian Guan, YING, Chen, YAP, Kian Leong Nelson
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2019
Subjects:
Intraday Options trading
Market Efficiency
Finance
Finance and Financial Management
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/6403
https://ink.library.smu.edu.sg/context/lkcsb_research/article/7402/viewcontent/____Intraday_information_from_S_P_500_Index_Futures_Options.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/lkcsb_research/6403
https://ink.library.smu.edu.sg/context/lkcsb_research/article/7402/viewcontent/____Intraday_information_from_S_P_500_Index_Futures_Options.pdf

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