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Information and the arrival rate of option trading volume.

Zhang, Mengyu, Verousis, Thanos, Kalaitzoglou, Iordanis (2021) Information and the arrival rate of option trading volume. The Journal of Futures Markets, 42 (4). pp. 604-644. ISSN 0270-7314. E-ISSN 1096-9934. (doi:10.1002/fut.22299) (KAR id:92203)


In this paper we investigate the interaction between liquidity and information in the options market and its impact on the pricing of the underlying asset. We model option trade duration and volume jointly, for the first time, as a natural measure of options’ trading intensity and we associate it with differential degrees of information present in option trades. We report a highly significant association between option trading intensity with contemporaneous and future underlying volatility and returns, which isrobust to the presence of other information measures, market factors and structural forms.

Item Type: Article
DOI/Identification number: 10.1002/fut.22299
Uncontrolled keywords: Options, stocks, trading volume, liquidity, information, conditional duration
Subjects: H Social Sciences > HG Finance
Divisions: Divisions > Kent Business School - Division > Department of Accounting and Finance
Depositing User: Mengyu Zhang
Date Deposited: 08 Dec 2021 10:26 UTC
Last Modified: 27 Dec 2023 00:00 UTC
Resource URI: (The current URI for this page, for reference purposes)

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