We examine the effects from the Trading At Settlement (TAS) introduction on VIX futures market quality. We find that the VIX futures market exhibits higher trading activity and better liquidity after the TAS introduction. VIX futures traders use the TAS limit order book to execute large...

This study analyses two types of information flows in financial markets. The first type represents return information, where informed investors know whether the stock price will increase or decrease. The second type is labelled volatility information, where the direction of the stock price is...

Recently, the Swedish options and futures exchange (OM) launched some regulatory changes in the design of the OMX index options market. The redesign constituted two alterations in the option contract specifications; a coarser strike price interval for the index options, and a 4:1 split affecting...

This study investigates the dynamic relationship between option happiness (the steepness of the volatility smirk) and relative index option liquidity. We find that, on a daily basis, option happiness is significantly dependent on the relative liquidity between option series with different...