Volatility information trading in the index options market: An intraday analysis

被引：22

作者：

Yang, Heejin ^{[1
]}

Kutan, Ali M. ^{[2
]}

Ryu, Doojin ^{[3
]}

机构：

[1] Dongguk Univ Gyeongju Campus, Coll Management & Econ, Dept Global Econ & Commerce, Gyeongsangbuk Do, South Korea

[2] Southern Illinois Univ, Sch Business, Edwardsville, IL 62026 USA

[3] Sungkyunkwan Univ, Coll Econ, 25-2 Sungkyunkwan Ro, Seoul 03063, South Korea

来源：

INTERNATIONAL REVIEW OF ECONOMICS & FINANCE | 2019年 / 64卷

关键词：

Foreign investment firm; Market microstructure; Implied volatility; Intraday volatility; Volatility information; IMPLIED VOLATILITY; DOMESTIC INVESTORS; FOREIGN INVESTORS; PRICE IMPACT; STOCK; VOLUME; BEHAVIOR; ANNOUNCEMENTS; PERFORMANCE; DYNAMICS;

D O I：

10.1016/j.iref.2019.07.006

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

By analyzing intraday volatility information trading according to the demand for options, we determine the types of investors that are informed about future spot market volatility and conduct volatility information trading in a highly liquid options market. Although the overall aggregate options demand does not predict intraday market volatility, the vega-weighted net demand of foreign investment firms conveys significant information about future volatility dynamics. By tracking the positions of all options market participants according to option moneyness, we find that foreign investment firms conduct volatility trading using highly levered options and that their intraday volatility information superiority is more prominent when they close their existing positions.

引用

页码：412 / 426

页数：15

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