This digital collection includes faculty publications from the Department of Finance and Real Estate and publications from the Everitt Real Estate Center.
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Browsing Department of Finance and Real Estate by Author "Christie-David, Rohan A., author"
(Colorado State University. Libraries, 2015-09-10) Chatrath, Arjun, author; Christie-David, Rohan A., author; Miao, Hong, author; Ramchander, Sanjay, author; Journal of Banking & Finance, publisher
We compare clientele and information share in weekly- (Weeklys) and monthly-expiring options (Monthlys) on the S&P 500 index. Striking dissimilarities between the two instruments are found, most apparent being the much smaller trade size and substantially higher implied volatility in Weeklys, consistent with both speculation and event trading. Additionally, the price discovery contribution of Weeklys, albeit modest when compared to the underlying index itself, is substantially larger than that of Monthlys. The cumulative evidence points to an increasingly segmented options market. Thus, studies employing only standard options to investigate price discovery will likely underestimate the informational role of options.
