Disagreement in Market Index Options

• Main Authors: SALOME, Guilherme, TAUCHEN, George, LI, Jia
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2023
• Subjects: SPX options; market index; high-frequency data; disagreement; volume-volatility elasticity; public information; Econometrics; Finance; Finance and Financial Management
• Online Access: https://ink.library.smu.edu.sg/soe_research/2701; https://ink.library.smu.edu.sg/context/soe_research/article/3700/viewcontent/DisagreementMarketIndexOptions_av.pdf
• Institution: Singapore Management University

We generate new evidence on disagreement among traders in the S&P 500 options market from high-frequency intraday price and volume data. Inference on disagreement is based on a model where investors observe public information but agree to disagree on its interpretation; disagreement among invest...