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dc.contributor.authorAp Gwilym, Owain
dc.contributor.authorVerousis, Thanos
dc.date.accessioned2024-07-03T09:42:02Z
dc.date.available2024-07-03T09:42:02Z
dc.date.issued2013en_US
dc.identifier.issn0270-7314
dc.identifier.doi10.1002/fut.21547
dc.identifier.urihttp://hdl.handle.net/20.500.12127/7514
dc.description.abstractEquity options have a significant influence on the price discovery process. This study presents unique evidence of substantial price clustering in individual equity options contracts. A particular contribution arises from investigating competing hypotheses on the roles of moneyness and maturity as determinants of option price clustering. We assert that options price clustering can be decomposed to price level, moneyness, and maturity effects. After controlling for other factors, price clustering has an inverse relation with time-to-maturity. This supports the negotiation hypothesis, but not the price resolution hypothesis. Price clustering also tends to be inversely related to moneyness. This effect is linked to the intrinsic value component of option price. Both the maturity and moneyness effects act in an opposite direction to what would be anticipated on the basis of price level alone; hence, these two effects are identified as additional influences on option price clustering. It is also found that the designated market maker scheme at NYSE Euronext London International Financial Futures Exchange (LIFFE) has little influence on trade price clustering.en_US
dc.language.isoenen_US
dc.publisherWileyen_US
dc.subjectPrice Clusteringen_US
dc.subjectEquity Optionsen_US
dc.titlePrice clustering in individual equity options: Moneyness, maturity and price levelen_US
dc.identifier.journalThe Journal of Futures Marketsen_US
dc.source.volume33en_US
dc.source.issue1en_US
dc.source.beginpage55en_US
dc.source.endpage76en_US
dc.contributor.departmentBangor Business School, Bangor University, Bangor, United Kingdomen_US
dc.identifier.eissn1096-9934
vlerick.knowledgedomainAccounting & Financeen_US
vlerick.typearticleJournal article with impact factoren_US
vlerick.vlerickdepartmentAFen_US
dc.identifier.vperid311477en_US


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