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Equity option liquidity after the introduction of the Premium Based Tick Size on NYSE LIFFE Amsterdam

Verousis, Thanos, ap Gwilym, Owain, Voukelatos, Nikolaos (2014) Equity option liquidity after the introduction of the Premium Based Tick Size on NYSE LIFFE Amsterdam. In: 7th Financial Risks International Forum – Big Data in Finance and Insurance, March 2014, Paris. (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:41456)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. (Contact us about this Publication)
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http://risk2014.institutlouisbachelier.org/fichier...

Abstract

On June 2, 2009, NYSE LIFFE Amsterdam reduced the tick size of options trading

threshold to €0.50. In this paper, we study the effect of that tick size reduction on the liquidity

increased but at a rate decreasing with option moneyness. Real costs have fallen more for the

trades has diminished after the change in the tick size. We document a substantial increase in

the order book, as it allows traders to take advantage of the price priority rule and step ahead

trading behaviour.

Item Type: Conference or workshop item (Paper)
Uncontrolled keywords: Liquidity, Tick Size, PBTS, Equity options, Amsterdam LIFFE
Subjects: H Social Sciences > HG Finance
Divisions: Faculties > Social Sciences > Kent Business School > Accounting and Finance
Depositing User: Nikolaos Voukelatos
Date Deposited: 16 Jun 2014 18:43 UTC
Last Modified: 06 May 2020 03:10 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/41456 (The current URI for this page, for reference purposes)
Voukelatos, Nikolaos: https://orcid.org/0000-0001-8272-2901
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