This study suggests a novel approach for decomposing an options order imbalance based on trading motives using put-call parity. The options order imbalance is separated into two components: one that contains arbitrage trading and one that does not. Intuitively, the proportion of the former...

This study explores whether frequent trading is profitable to investors. Using the unique transaction-level data from a highly liquid index futures market, we show that domestic non-investment institutions lose money as they trade more frequently, especially from trading after the market opening...