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Short-term options: clienteles, market segmentation, and event trading

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dc.contributor.authorChatrath, Arjun, author
dc.contributor.authorChristie-David, Rohan A., author
dc.contributor.authorMiao, Hong, author
dc.contributor.authorRamchander, Sanjay, author
dc.contributor.authorJournal of Banking & Finance, publisher
dc.date.accessioned2020-05-18T22:28:08Z
dc.date.available2020-05-18T22:28:08Z
dc.date.issued2015-09-10
dc.descriptionIncludes bibliographical references (pages 31-33).
dc.descriptionPublished as: Journal of Banking & Finance, vol. 61, pp. 237-250, December 2015, https://doi.org/10.1016/j.jbankfin.2015.09.001
dc.description.abstractWe 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.
dc.format.mediumborn digital
dc.format.mediumarticles
dc.identifier.bibliographicCitationChatrath, A., Christie-David, R., Miao, H., & Ramchander, S. (2015). Short-term options: Clienteles, market segmentation, and event trading. Journal of Banking and Finance, 61, 237–250. https://doi.org/10.1016/j.jbankfin.2015.09.001
dc.identifier.urihttps://hdl.handle.net/10217/206888
dc.languageEnglish
dc.language.isoeng
dc.publisherColorado State University. Libraries
dc.relation.ispartofFaculty Publications
dc.rights©2015 Elsevier B.V. Author can archive pre-print.
dc.rightsCopyright and other restrictions may apply. User is responsible for compliance with all applicable laws. For information about copyright law, please see https://libguides.colostate.edu/copyright.
dc.subjectweeklys
dc.subjectmonthlys
dc.subjectimplied volatility
dc.subjectspread
dc.subjectprice discovery
dc.subjectGreeks
dc.titleShort-term options: clienteles, market segmentation, and event trading
dc.typeText

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