在期权到期日转瞬即逝的订单的作用

IF 1.5 4区经济学 Q3 BUSINESS, FINANCE

Quantitative Finance Pub Date : 2023-07-25 DOI:10.1080/14697688.2023.2229375

Antonio Figueiredo, P. Jain, Suchi Mishra

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引用次数: 0

摘要

我们采用纳斯达克订单水平数据来分析期权到期的日内交易和跨市场价格压力溢出。我们观察到在期权到期日和非到期日，期权股票的短暂订单更多。NBBO接近行权价格和转瞬即逝的订单方向之间的关系，期权未平仓合约和转瞬即逝的订单方向之间的关系，以及他们在NBBO之外的位置表明欺骗和价格操纵，而不是简单地寻找潜在的流动性。我们表明，短暂的订单影响随后的NBBO，并增加期权到期日股票价格跨越期权执行价格的可能性。

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The role of fleeting orders on option expiration days

We employ NASDAQ order level data to analyze intraday trading at option expirations and cross-market price pressure spillover. We observe more fleeting orders in optionable stocks on option expiration versus non-expiration days. The relation between NBBO proximity to strike prices and fleeting order direction, the relation between option Open Interest and fleeting order direction, as well as their placement outside NBBO suggest spoofing and price manipulation rather than a simple search for latent liquidity. We show that fleeting orders impact subsequent NBBO and increase likelihood of stock prices crossing option strike prices on option expiration days.

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来源期刊

Quantitative Finance 社会科学-数学跨学科应用

CiteScore

3.20

自引率

7.70%

发文量

102

审稿时长

4-8 weeks

期刊介绍： The frontiers of finance are shifting rapidly, driven in part by the increasing use of quantitative methods in the field. Quantitative Finance welcomes original research articles that reflect the dynamism of this area. The journal provides an interdisciplinary forum for presenting both theoretical and empirical approaches and offers rapid publication of original new work with high standards of quality. The readership is broad, embracing researchers and practitioners across a range of specialisms and within a variety of organizations. All articles should aim to be of interest to this broad readership.