Journal Articles Journal of derivatives & Hedge Funds Year : 2014

Trading in option contracts before large price changes: A comparative study of US and UK markets

Emilios C. C Galariotis
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Wu Rong
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Spyros I. Spyrou
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Abstract

Previous studies indicate that traders in possession of important information are more likely to transact in option contracts rather than the underlying asset. This article examines stock option trading volume before significant price changes in the underlying stock for all S&P100 and FTSE 100 constituent stocks. Our findings indicate irregular option trading volume before a significant amount of large price changes. This effect is less pronounced in the UK market.

Dates and versions

hal-01122593 , version 1 (04-03-2015)

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Emilios C. C Galariotis, Wu Rong, Spyros I. Spyrou. Trading in option contracts before large price changes: A comparative study of US and UK markets. Journal of derivatives & Hedge Funds, 2014, 20, pp.1-9. ⟨10.1057/jdhf.2014.8⟩. ⟨hal-01122593⟩

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