The Trading Efficiency On Options Market

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The Trading Efficiency On Options Market

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Author : Yan Feng
language : en
Publisher:
Release Date : 2013

The Trading Efficiency On Options Market written by Yan Feng and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.

F. Black (1975) in his seminal paper "Fact and Fantasy in the use of options" mentioned a number of fantasies that widely spread in the options markets. Since Black's (1975) paper was published, there were significant changes and innovations in the options markets. The purpose of this paper is to address some of the pricing and trading aspects in the options markets.

The Contribution Of Market Makers To Liquidity And Efficiency Of Options Trading In Electronic Markets

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Author : Rafi (Rafael) Eldor
language : en
Publisher:
Release Date : 2014

The Contribution Of Market Makers To Liquidity And Efficiency Of Options Trading In Electronic Markets written by Rafi (Rafael) Eldor and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.

This paper examines the contribution of market makers to the liquidity and the efficiency of the options market in a unique setup of an order-driven computerized trading system, in which market makers and other participants operate under equitable conditions. The main findings are: (1) liquidity increased - a 60% increase in trading volume and a 35% decrease of bid-ask spreads; (2) the efficiency of shekel-euro options trading improved - deviations from put-call parity decreased significantly by 12%, and skewness decreased by about 30%. We also find that the net cost to the exchange is out weighted by the benefit to the trading public and that the presence of market makers encouraged trading between other participants far beyond their own trading.

Testing The Efficiency Of Indian Options Market

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Author : Anirban Ghatak
language : en
Publisher: GRIN Verlag
Release Date : 2019-02-26

Testing The Efficiency Of Indian Options Market written by Anirban Ghatak and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-02-26 with Business & Economics categories.

Master's Thesis from the year 2014 in the subject Business economics - Investment and Finance, grade: A, University of Calcutta, language: English, abstract: The present study is conducted to test the efficiency of Indian options market. Very few studies have been conducted to test the efficiency of Indian derivatives market and especially Indian options market. This study is essential for testing the price discovery of the Indian options market. This study is motivated by lack of evidence and fills this gap by providing hitherto unavailable evidence on efficiency of the Indian options market. The purpose of the study is to test the efficiency of Nifty stock options. The study is done using trading data for 1 month. Market efficiency is tested by examining the validity of the put-call parity and of the hedging strategy. Black-Scholes model of option pricing is used to determine the fair option prices in this study. In case of mispricing of options contracts, hedging test is conducted to ascertain whether above normal returns are possible by taking advantage of the mispricing. In hedging test returns are calculated after the trader closes his position in the spot market. These returns are then compared to risk-free returns. When transaction costs are not taken into account, the hedging returns were more than the risk free returns for some stocks which showed that the market is inefficient. But after transaction costs are considered these returns became negative and ascertained that the market is efficient. Put-call parity test in the absence of the transaction costs showed that options market is inefficient. However in the presence of these costs, the hypothesis of market efficiency is accepted. The present study will help to get useful insights so that the options markets can be made more efficient as healthy financial markets are backbone of any financially healthy country. Furthermore, financial markets should be efficient and efficiency helps to prevent any kind of frauds in the financial markets.

The Determinants Of The Time To Efficiency In Options Markets

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Author : Laurent Deville
language : en
Publisher:
Release Date : 2005

The Determinants Of The Time To Efficiency In Options Markets written by Laurent Deville and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.

This paper examines the determinants of the time it takes for an index options market to be brought back to efficiency after put-call parity deviations, using intraday transactions data from the French CAC 40 index options over the August 2000 - July 2001 period. We address this issue through survival analysis which allows us to characterize how differences in market conditions influence the expected time before the market reaches the no-arbitrage relationship. We find that moneyness, maturity, trading volume as well as trade imbalances in call and put options, and volatility are important in understanding why some arbitrage opportunities disappear faster than others. After controlling for differences in the trading environnement, we find evidence of a negative relationship between the existence of ETFs on the index and the time to efficiency.

Pricing Efficiency In The Long Term Index Options Market

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Author : Anuradha Kandikuppa
language : en
Publisher:
Release Date : 1999

Pricing Efficiency In The Long Term Index Options Market written by Anuradha Kandikuppa and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Options (Finance) categories.

Efficiency In Index Options Markets And Trading In Stock Baskets

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Author : Lucy F. Ackert
language : en
Publisher:
Release Date : 2014

Efficiency In Index Options Markets And Trading In Stock Baskets written by Lucy F. Ackert and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.

Researchers have reported mispricing in index options markets. This study further examines the efficiency of the Samp;P 500 index options market by testing theoretical pricing relationships implied by no-arbitrage conditions. The effect of a traded stock basket, Standard and Poor's Depository Receipts (SPDRs), on the link between index and options markets is also examined. Pricing efficiency within options markets improves, and the evidence supports the hypothesis that a stock basket enhances the connection between markets. However, when transactions costs and short sales constraints are included, very few violations of the pricing relationships are reported.

The Efficiency Of The London Trading Options Market

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Author : Fun Sang Daniel Choi
language : en
Publisher:
Release Date : 1993

The Efficiency Of The London Trading Options Market written by Fun Sang Daniel Choi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with categories.

The Micro Structure Of Options Markets

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Author : Kose John
language : en
Publisher:
Release Date : 1991

The Micro Structure Of Options Markets written by Kose John and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991 with Stock exchanges categories.

Fx Option Performance

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Author : Jessica James
language : en
Publisher: John Wiley & Sons
Release Date : 2015-06-22

Fx Option Performance written by Jessica James and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-06-22 with Business & Economics categories.

Get the little known – yet crucial – facts about FX options Daily turnover in FX options is an estimated U.S. $ 207 billion, but many fundamental facts about this huge and liquid market are generally unknown. FX Option Performance provides the information practitioners need to be more effective in the market, with detailed, specific guidance. This book is a unique and practical guide to option trading, with the courage to report how much these contracts have really made or lost. Breaking free from the typical focus on theories and generalities, this book gets specific – travelling back in history to show exactly how options performed in different markets and thereby helping investors and hedgers alike make more informed decisions. Not overly technical, the rigorous approach remains accessible to anyone with an interest in the area, showing investors where to look for value and helping corporations hedge their FX exposures. FX Option Performance begins with a quick and practical introduction to the FX option market, then provides specific advice toward structures, performance, rate fluctuation, and trading strategies. Examine the historical payoffs to the most popular and liquidly traded options Learn which options are overvalued and which are undervalued Discover surprising, generally unpublished facts about emerging markets Examine systemic option trading strategies to find what works and what doesn't On average, do options result in profit, loss, or breaking even? How can corporations more cost-effectively hedge their exposure to emerging markets? Are cheap out-of-the-money options worth it?

The Option Trader S Hedge Fund

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Author : Dennis A. Chen
language : en
Publisher: FT Press
Release Date : 2012

The Option Trader S Hedge Fund written by Dennis A. Chen and has been published by FT Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Business & Economics categories.

In this book, a hedge fund manager and an option trading coach show you how to earn steady, reliable income selling options by managing your option trades and running your option portfolio as a real business with consistent, steady returns. Packed with real-world examples, the authors show you how to manage your own "one man" hedge fund and make consistent profits from selling options by applying the basic framework and fundamental business model and principles of an "insurance company". This framework helps you to apply your option trading strategy to a solid, predictable, business model with consistent returns. For someone who has some knowledge of trading options and wants to become a consistent income earner. The authors provide a complete "operations manual" for setting up your business. Gain pearls of wisdom from both a professional options trader and coach, and from a hedge fund manager focused on managing an options based portfolio.