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Equity Options (equity + option)

Distribution by Scientific Domains
Business, Economics, Finance and Accounting80%

Selected Abstracts

Toward a National Market System for U.S. Exchange,listed Equity Options

THE JOURNAL OF FINANCE, Issue 2 2004
Robert Battalio
ABSTRACT In its response to the 1975 Congressional mandate to implement a national market system for financial securities, the Securities and Exchange Commission (SEC) initially exempted the option market. Recent dramatic changes in the structure of the option market prompted the SEC to revisit this issue. We examine a sample of actively traded, multiply listed equity options to ask whether this market's characteristics appear consistent with the goals of producing economically efficient transactions and facilitating "best execution." We find marked changes between June 2000, when quotes are often ignored, and January 2002, when the market more closely resembles a national market. [source]

Trading options before Black-Scholes: a study of the market in late seventeenth-century London1

ECONOMIC HISTORY REVIEW, Issue 2009
ANNE L. MURPHY
This article uses data from the ledgers of the financial broker Charles Blunt to explore the market in equity options that emerged in London during the stock market boom of the early 1690s. Blunt's ledgers provide a unique opportunity to observe the workings of an early modern derivatives market. They reveal a broadly based and highly active trade in options. The market functioned well, determined value using agreed criteria, and was utilized by a diverse range of individuals to facilitate both risk-seeking and risk-averse investment strategies. [source]

Volatility Information Trading in the Option Market

THE JOURNAL OF FINANCE, Issue 3 2008
SOPHIE X. NI
ABSTRACT This paper investigates informed trading on stock volatility in the option market. We construct non-market maker net demand for volatility from the trading volume of individual equity options and find that this demand is informative about the future realized volatility of underlying stocks. We also find that the impact of volatility demand on option prices is positive. More importantly, the price impact increases by 40% as informational asymmetry about stock volatility intensifies in the days leading up to earnings announcements and diminishes to its normal level soon after the volatility uncertainty is resolved. [source]

Toward a National Market System for U.S. Exchange,listed Equity Options

THE JOURNAL OF FINANCE, Issue 2 2004
Robert Battalio
ABSTRACT In its response to the 1975 Congressional mandate to implement a national market system for financial securities, the Securities and Exchange Commission (SEC) initially exempted the option market. Recent dramatic changes in the structure of the option market prompted the SEC to revisit this issue. We examine a sample of actively traded, multiply listed equity options to ask whether this market's characteristics appear consistent with the goals of producing economically efficient transactions and facilitating "best execution." We find marked changes between June 2000, when quotes are often ignored, and January 2002, when the market more closely resembles a national market. [source]

Smiling less at LIFFE

THE JOURNAL OF FUTURES MARKETS, Issue 1 2008
Bing-Huei Lin
This study investigates the structure of the implied volatility smile, using the prices of equity options traded on the LIFFE. First, the slope of the implied volatility curve is significantly negative for both individual stocks and index options, and the slope is less negative for longer-term options. The implied volatility skew can be described by risk-neutral skewness and kurtosis, with the former having the first-order effect. Moreover, the implied volatility skew for individual stock options is less severe than for index options. Finally, the relationship between the real and risk-neutral moments implied in option prices is significant. The results indicate that, for equity options traded on the LIFFE, the slope of the implied volatility skew is flatter than that on the Chicago Board of Exchange (CBOE). © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:57,81, 2008 [source]