Information and the arrival rate of option trading volume
Zhang, Mengyu Verousis, Thanos Kalaitzoglou, Iordanis
Zhang, Mengyu
Verousis, Thanos
Kalaitzoglou, Iordanis
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Publication Type
Journal article with impact factor
Editor
Supervisor
Publication Year
2022
Journal
The Journal of Futures Markets
Book
Publication Volume
42
Publication Issue
4
Publication Begin page
605
Publication End page
644
Publication NUmber of pages
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Abstract
In this paper we investigate the interaction between liquidity and information in the options market and its impact on the pricing of the underlying asset. We model option trade duration and volume jointly, for the first time, as a natural measure of options' trading intensity and we associate it with differential degrees of information present in option trades. We report a highly significant association between option trading intensity with contemporaneous and future underlying volatility and returns, which is robust to the presence of other information measures, market factors, and structural forms.
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Journal Issue
Keywords
Options (Finance), Market Pricing, Market Prices, Liquidity (Economics), Securities Trading Volume, Information Measurement, Conditional Duration, Information, Liquidity, Options, Stocks, Trading Volume