Net buying pressure and the information in bitcoin option trades

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Markets Pub Date : 2023-03-01 DOI:10.1016/j.finmar.2022.100764

Carol Alexander , Jun Deng , Jianfen Feng , Huning Wan

引用次数: 0

Abstract

Bitcoin prices are driven by upward as well as downward jumps and so the bitcoin implied volatility surface behaves differently from those of established options markets. We analyze tick-level Deribit option price data, demonstrating increasing support for the limits-to-arbitrage hypothesis. Hence market makers are managing order imbalance and inventory more effectively as Deribit bitcoin options trading volumes increases. On the demand side, volatility traders drive both at-the-money and out-of-the-money option prices, the latter also being driven by directional traders. Directional effects were most pronounced during the price bubble of 2021. Further refinements of our tests assess time-to-maturity and time-of-day effects.

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比特币期权交易中的净买入压力和信息

比特币价格是由上涨和下跌驱动的，因此比特币隐含的波动性表面表现与现有期权市场不同。我们分析了刻度水平的Deribit期权价格数据，证明了对套利限制假说的支持越来越多。因此，随着Deribit比特币期权交易量的增加，做市商正在更有效地管理订单失衡和库存。在需求方面，波动性交易员推动货币期权价格和货币外期权价格，后者也受到定向交易员的推动。定向效应在2021年的价格泡沫期间最为明显。我们测试的进一步完善评估了成熟时间和一天中的时间效应。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Financial Markets BUSINESS, FINANCE-

CiteScore

3.40

自引率

3.60%

发文量

期刊介绍： The Journal of Financial Markets publishes high quality original research on applied and theoretical issues related to securities trading and pricing. Area of coverage includes the analysis and design of trading mechanisms, optimal order placement strategies, the role of information in securities markets, financial intermediation as it relates to securities investments - for example, the structure of brokerage and mutual fund industries, and analyses of short and long run horizon price behaviour. The journal strives to maintain a balance between theoretical and empirical work, and aims to provide prompt and constructive reviews to paper submitters.