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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| Main Authors: | , , |
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| 格式: | text |
| 語言: | English |
| 出版: |
Institutional Knowledge at Singapore Management University
2019
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| 主題: | |
| 在線閱讀: | 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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| 總結: | 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 volatility and only very marginal cases of profitable trading using kurtosisforecasts. The skewness profitability anomaly may be an indication of informational marketinefficiency in intraday S&P 500 futures options markets, which is contrary to findings usinglonger-span daily and weekly moments. Our results lend credence to the persistence of intradaytrading activities in the markets. |
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