Does informed trading occur in the options market? Some revealing clues
This paper analyses the relationship between proxy variables for informed trading in the options market and a set of exogenous news variables. The aim was to test directly for the presence or absence of informed trading in the options market and for the possible impact of this trading on underlying...
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| Veröffentlicht in: | Accounting and finance (Parkville) 2010-09, Vol.50 (3), p.555-579 |
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| creator | Blasco, Natividad Corredor, Pilar Santamaría, Rafael |
| description | This paper analyses the relationship between proxy variables for informed trading in the options market and a set of exogenous news variables. The aim was to test directly for the presence or absence of informed trading in the options market and for the possible impact of this trading on underlying asset prices. Our findings reveal that potential informed trading in options markets is channelled basically through out‐of‐the‐money options, except for volatility trading which mainly involves at‐the‐money options because of their liquidity. In both cases, we have found evidence in favour of investors’ strategic fragmentation of transactions into intermediate size trades (stealth trading). Finally, it is shown that lack of consensus among agents also generates increased trading, particularly in out‐of‐the‐money and at‐the‐money options. |
| doi_str_mv | 10.1111/j.1467-629X.2009.00337.x |
| format | Article |
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| ispartof | Accounting and finance (Parkville), 2010-09, Vol.50 (3), p.555-579 |
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| source | RePEc; Wiley Online Library Journals Frontfile Complete; Business Source Complete |
| subjects | C22 Correlation analysis G13 G14 Liquidity News Option volume Options markets Options trading Stock prices Studies Volatility |
| title | Does informed trading occur in the options market? Some revealing clues |
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