Clustering of trading activity in the DAX index options market

by Alexander K. Koch, Zdravetz Lazarov

Trades in DAX index options with identical maturities cluster around particular classes of strike prices. For example, options with strikes ending on 50 are less traded than options with strikes ending on 00. Clustering is higher when options with close strike prices are good substitutes. The degree of substitution between options with neighboring strikes depends on the strike price grid and options' characteristics. Using regression analysis we analyze the relation between clustering, grid size, and the options' characteristics. To our knowledge this paper is the first to explore how the grid size of strike prices affects options' trading volume.

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Year of publication:	November 2001
Authors:	Koch, Alexander K. ; Lazarov, Zdravetz N.
Publisher:	Bonn : Bonn Graduate School of Economics, Department of Economics, University of Bonn
Subject:	Clustering \| Incidental Truncation \| Index Options \| Volume \| Index-Futures \| Index futures \| Börsenkurs \| Share price \| Handelsvolumen der Börse \| Trading volume \| Schätzung \| Estimation \| Deutschland \| Germany

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Extent:	1 Online-Ressource (circa 39 Seiten) Illustrationen
Series:	Bonn Econ Discussion Papers / BGSE. - Bonn : Univ., ZDB-ID 2124986-6. - Vol. 2001, 30
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper
Language:	English
Other identifiers:	hdl:10419/78402 [Handle]
Classification:	C24 - Truncated and Censored Models ; G10 - General Financial Markets. General ; Geld, Inflation, Kapitalmarkt
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011539670