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Information and the arrival rate of option trading volume

Abstract : 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 is robust to the presence of other information measures, market factors and structural forms.
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https://hal-audencia.archives-ouvertes.fr/hal-03648997
Contributor : Iordanis Kalaitzoglou Connect in order to contact the contributor
Submitted on : Friday, April 22, 2022 - 10:24:59 AM
Last modification on : Saturday, April 23, 2022 - 3:25:46 AM

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  • HAL Id : hal-03648997, version 1

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Mengyu Zhang, Thanos Verousis, Iordanis Kalaitzoglou. Information and the arrival rate of option trading volume. Journal of Futures Markets, Wiley, inPress. ⟨hal-03648997⟩

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