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

Emilios Galariotis; Wu Rong; Spyros Spyrou

doi:10.1057/jdhf.2014.8

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

Emilios Galariotis, Wu Rong, Spyros Spyrou^*

^*Corresponding author for this work

Department of Accounting and Finance

Research output: Contribution to journal › Review article › peer-review

1 Scopus citations

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.

Original language	English
Pages (from-to)	1-9
Number of pages	9
Journal	Journal of Derivatives and Hedge Funds
Volume	20
Issue number	1
DOIs	https://doi.org/10.1057/jdhf.2014.8
State	Published - Feb 2014

Keywords

Informed trading
Option markets
Price shocks
Trading volume

ASJC Scopus subject areas

Finance
Economics and Econometrics

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10.1057/jdhf.2014.8

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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.",

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

Abstract

Keywords

ASJC Scopus subject areas

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