Detecting Informed Trading Activities in the OptionsMarkets

This paper presents a new method to detect informed trading activities in the options markets.An option trade is identified as informed when it is characterized by an unusual largeincrement in open interest and volume, induces large gains, and is not hedged in the stock market.For the period 1996–2006, each put option contract on 14 companies traded in the ChicagoBoard Options Exchange is analyzed.[...]

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Year of publication:	2009-12-11
Authors:	Chesney, Marc ; Crameri, Remo ; Mancini, Loriano
Institutions:	Institut für Schweizerisches Bankwesen <Zürich>
Subject:	Handel \| trade \| Information \| information \| Put-Option \| put option

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Extent:	515072 bytes 42 p. application/pdf
Series:	Universität Zürich - Department of Banking and Financt - Publications Working Paper ; No. 560 (2009)
Type of publication:	Book / Working Paper
Language:	English
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; C65 - Miscellaneous Mathematical Tools ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; G14 - Information and Market Efficiency; Event Studies ; G17 - Financial Forecasting ; G34 - Mergers; Acquisitions; Restructuring; Corporate Governance ; Forecast, decision making ; Study of commerce ; Management of financial services: stock exchange and bank management science (including saving banks) ; Individual Working Papers, Preprints ; Global Resources
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005868704