Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
The Intraday Behaviour Of Quoted And Effective Bid Ask Spreads Of Ft Se 100 Index Options
Download The Intraday Behaviour Of Quoted And Effective Bid Ask Spreads Of Ft Se 100 Index Options full books in PDF, epub, and Kindle. Read online The Intraday Behaviour Of Quoted And Effective Bid Ask Spreads Of Ft Se 100 Index Options ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Book Synopsis The Intraday Behaviour of Quoted and Effective Bid-Ask Spreads of Ft-Se 100 Index Options by : Paul Dawson
Download or read book The Intraday Behaviour of Quoted and Effective Bid-Ask Spreads of Ft-Se 100 Index Options written by Paul Dawson and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study compares the intraday patterns observed in the quoted and effective bid-ask spreads on the FT-SE 100 index options traded on LIFFE with a broad range of theoretical models. Several discrepancies are found. It is argued that these arise principally because the standard classification of investors into informed and liquidity traders breaks down in the case of index options, in part, because options are inappropriate instruments for liquidity traders, and also because the concept of an informed trader has a rather different nature in the case of an index as contrasted with an individual stock. Furthermore, marketmakers in these options have access to a liquid instrument to hedge the risk of asymmetric information. The key empirical finding is that there is a significant contraction of both the quoted and effective bid-ask spreads after the first 25 minutes of the trading day. Subsequently, there is little systematic intraday change in either kind of spread. This contraction is only partially consistent with theory. This study finds a widening only at the beginning of the day, and no evidence of informed trading is found during the opening interval. Is there an optimum time during the course of the day for investors to buy and sell options? The conclusion reached is that there is no such optimum time, but that investors should avoid the opening period of the day, since both the quoted and effective spreads are significantly larger than those at other times, with no compensating reward in the form of more informative prices.
Book Synopsis The Intraday Behavior of Bid-Ask Spreads, Returns, and Volatility for Ftse-100 Stock Index Options by : Owain Ap Gwilym
Download or read book The Intraday Behavior of Bid-Ask Spreads, Returns, and Volatility for Ftse-100 Stock Index Options written by Owain Ap Gwilym and published by . This book was released on 1997 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The microstructure of stock markets and futures markets has attracted considerable recent attention, but the evidence relating to options markets is sparse, especially for the U.K. This article addresses this void in the literature by presenting evidence on the intraday behavior of bid-ask spreads, returns, volatility, and volume. Both clear differences and similarities are found with the previous results for other markets. Spreads are found to be wide near the market open and narrow near the close. Although this contrasts with some previous evidence in U.S. stock and futures markets of a U-shaped pattern in intraday spreads, it is consistent with other recent research, and the differences may be explained by differing market structures. No clear pattern emerges in options returns, but there is a U-shape across the day in returns volatility and in volume. The results help to differentiate between the competing theories of the intraday behavior of these key variables.
Download or read book Life Cycles written by Abhay Abhyankar and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper uses a data set consisting of a complete history of all transactions and quotes to examine intraday patterns in trading volume, volatility and the quoted bid-ask spread in the market for FTSE-100 index futures. We also document a number of regularities in the pattern of daily returns and volatility of the cash index. Finally, we document intraday patterns in the basis, i.e. the contemporaneous difference between the futures price and the underlying cash index level. In general, we find returns vary somewhat over the day, reflecting in particular the influence of the US market openings in early afternoon London-time. We find that, while both volume and volatility exhibit a U-shaped pattern over the day, movements in the spread tend if anything to follow the opposite pattern. As far as consistency with the best-known microstructure models is concerned, our results are more supportive of the Brock and Kleidon (1992) market closures model than the Admati and Pfleiderer (1988) noise- trading model.
Book Synopsis The Intraday Behavior of Bid-Ask Spreads for NYSE Stocks and Cboe Options by : Kalok Chan
Download or read book The Intraday Behavior of Bid-Ask Spreads for NYSE Stocks and Cboe Options written by Kalok Chan and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the intraday behavior of bid-ask spreads for actively traded CBOE options and for their NYSE-traded underlying stocks. We confirm previous findings that stocks have a U-shaped spread pattern; however, the options display a very different intraday pattern--one that declines sharply after the open, and then levels off. Our results suggest that both the degree of competition in market making and the extent of informed trading are important for understanding the intraday behavior of spreads.
Book Synopsis The Intraday Behaviour of Bid-Ask Spreads, Trading Volume and Return Volatility by : Syed Mujahid Hussain
Download or read book The Intraday Behaviour of Bid-Ask Spreads, Trading Volume and Return Volatility written by Syed Mujahid Hussain and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper undertakes a fresh empirical investigation of key financial market variables and the theories that link them. We employ high frequency 5-minute data that include transaction price, trading volume, and the close bid and ask quote for the period May 5, 2004 through September 29, 2005. We document a number of regularities in the pattern of intraday return volatility, trading volume and bid-ask spreads. We are able to confirm the reverse J-shaped pattern of intraday bid-ask spreads with the exception of a major bump following the intraday auction at 13:05 CET. The aggregate trading volume exhibits L-shaped pattern for the German blue chip index, while German index volatility displays a somewhat reverse J-shaped pattern with two major bumps at 14:30 and 15:30 CET. Our empirical findings show that contemporaneous and lagged trading volume and bid-ask spreads have numerically small but statistically significant effect on return volatility. Our results also indicate asymmetry in the effects of volume on conditional volatility. However, inclusion of both measures as proxy for informal arrival in the conditional volatility equation does not explain the well known volatility persistence in intraday stock returns.
Book Synopsis The Bid-Ask Spread of the Ftse-100 Futures Contract by : Thomas Henker
Download or read book The Bid-Ask Spread of the Ftse-100 Futures Contract written by Thomas Henker and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Half point quotes and consequently half-point spreads are virtually non-existent in FTSE-100 futures trading. This is surprising since in 1994 Christie and Schultz published a series of papers documenting tacit collusion among NASDAQ market makers. Subsequent to the publication of their article the peculiarity ceased to exist for NASDAQ stocks but apparently not in other asset markets. The FTSE-100 futures contract is traded on the London International Financial Futures Exchange (LIFFE) throughout the day in open outcry pit trading and in after hours trading through an electronic market clearing system called Automated Pit Trading (APT). Pit trading is the prototype of a competitive market that is designed to ensure minimal bid-ask spreads.In a second part this paper estimates the total economic costs associated with the operation of the FTSE-100 futures trading pit. These costs arise from the existence of the bid-ask spread and are borne by all market participants who have a real demand for the futures contract and initiate trades. The spread costs are in addition to common transaction costs and fees paid directly to brokers and traders. The spreads in APT trading are found to be on average 50% higher than during pit trading, which may help explain the APT low trading volume relative to the volume transacted during pit trading. A spread decomposition shows that 80 percent of the spread can be attributed to time invariant spread components while only the remaining 20% are transient components related to price risk over the expected holding period of the scalper.
Book Synopsis The Behavior of Bid-Ask Spreads and Volume in Options Markets During the Competition for Listings in 1999 by : Patrick de Fontnouvelle
Download or read book The Behavior of Bid-Ask Spreads and Volume in Options Markets During the Competition for Listings in 1999 written by Patrick de Fontnouvelle and published by . This book was released on 2003 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: In August 1999, U.S. exchanges began to compete directly for order flow in many options that had been exclusively listed on another exchange, shifting 37 percent of option volume to multiple-listing status by the end of September. Effective and quoted bid-ask spreads decrease significantly after multiple listing with spreads generally maintaining their initial lower levels one year later. These results hold for both time series and pooled regressions and are robust. We reject that economies of scale in market making cause the decrease in spreads and support the view that inter-exchange competition reduces option transaction costs.
Book Synopsis Bid-Ask Spreads, Trading Activity, and Trading Hours by : Abhay Abhyankar
Download or read book Bid-Ask Spreads, Trading Activity, and Trading Hours written by Abhay Abhyankar and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the intra-day pattern of bid-ask spreads, volatility, and volume on the London Stock Exchange. The primary focus of the study is to relate the empirically observed regularities to specific institutional features of the trading system on the Exchange. We also examine the robustness of the results with reference to changes in the trading hours. The data set used consists of quote and transactions data for about 147 stocks and 835 stocks during two quarters of 1990 and 1991. We test for statistical significance of the average inside spread, the volume, and the return volatility during 15-minute intervals using a GMM ( Generalized Method of Moments ) procedure which is robust to both serial correlation and heteroscedasticity. We also indicate graphically the intra-daily patterns in the inside spread, the trading volume, the number of transactions, and the return volatility. Our results suggest that the bid-ask spread is widest outside the Mandatory Quote Period (MQP), i.e. the period during which market-makers are obliged to post firm quotes. The spread narrows slightly over the trading day for highly traded stocks but is almost constant for less liquid stocks. The spread again widens from the end of the MQP till the close of the SEAQ system. We conjecture that the periods prior to and after the MQP provide quot;windowsquot; for price discovery prior to the MQP and for quot;cooling offquot; after the MQP. Trading volume for the entire sample shows a two-humped shape. However, a crude U-shaped pattern is seen for stocks in the highest trading decile based on volume and number of transactions. Volatility, based on the mid-point of the inside spread, also shows a U-shaped pattern. The higher volatility outside the MQP coincides with the greater price uncertainty prevailing during these time periods.
Book Synopsis Intraday Variation in the Bid-Ask Spread by : Kee H. Chung
Download or read book Intraday Variation in the Bid-Ask Spread written by Kee H. Chung and published by . This book was released on 2002 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this article we show that intraday variation in spreads for Nasdaq-listed stocks has converged to intraday variation in spreads for NYSE-listed stocks after the implementation of the new order handling rules. We attribute this convergence to the Limit Order Display Rule, which requires that limit orders be displayed in Nasdaq best bid and offer (BBO) when they are better than quotes posted by market makers. Our findings suggest that the different patterns of intraday spreads between NYSE and Nasdaq stock reported in prior studies can largely be attributed to the different treatments of limit orders between the NYSE and Nasdaq before the market reform.
Book Synopsis The Intraday Trading Behavior of TAIEX Option in Taiwan Futures Exchange by :
Download or read book The Intraday Trading Behavior of TAIEX Option in Taiwan Futures Exchange written by and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the intraday behavior of bid-ask spreads for actively traded TAIEX option in Taiwan. A study of quality of price quotation offered by market makers is important because the market makers have the responsibilities to keep trading costs low and promote price discovery. Due to the observed wider price quotation from market makers, we find that market makers offer inefficient price quotations to fulfill their obligations under requirement of market making. Moreover, ways of quotation market makers choose, indeed, affect the price quotation of market makers. We also find foreign institutional investors (QFIIs) and market makers bear lower execution cost when they deal on TAIEX option market. Overall, despite the large trading volume and increasing liquidity in TAIEX option, our results suggest that market makers do not play an important role to the market liquidity of TAIEX option market as we thought previously.
Book Synopsis Bid-ask Spread and Arbitrage Profitability by : Kee-hong Bae
Download or read book Bid-ask Spread and Arbitrage Profitability written by Kee-hong Bae and published by . This book was released on 1996 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Vertical Option Spreads by : Charles Conrick, IV
Download or read book Vertical Option Spreads written by Charles Conrick, IV and published by John Wiley & Sons. This book was released on 2017-04-26 with total page 259 pages. Available in PDF, EPUB and Kindle. Book excerpt: Make trades on vertical options spreads with the precision of a laser beam Vertical Options Spreads is a combination of a bona-fide academic research-based study and a complete method to trade credit and debit spreads, along with other complex option combination trades such as iron condors and butterflies. Here, the author has accumulated five years of daily data on the ETF, SPY and provided historical evidence of actual win rates at specific multiples of entry points, both in time and price level. For example, traders will be able to use the weekly options, pick a level of risk and return desired, learn how to place the trade, and then discover the actual percent return that the trade would have yielded. This must-have resource includes the basics of option trading and contains references to many excellent works by other authors that explore more about the intricacies of option mechanics and trading. It is far more than an analysis of one specific asset, SPY, featuring a study of probability theory and how it has applied to trading over the past five years, including the highly volatile 2007 to 2009 time frame and the more "normal" 2010 to 2012 time period. The book offer a thorough understanding of how price movement, actual volatility, and implied volatility all provide a complex but workable web in which the informed trader can generate excellent returns. However, the trader must have the discipline to act within the confines of probability and the "law" of large numbers refusing to place trades based on gut feelings or hunches. Offers high-probability based trading that uses the new weekly options Contains handy interactive worksheets that allow traders to select their own risk/return with precision Includes a website with daily and weekly information on the estimate of the actual standard deviation points on the price spectrum Vertical Options Spreads offers traders a research-based guide for trading Standard & Poors 500 ETF, SPY using historic and estimated probabilities and returns that will give them an edge in the marketplace.
Book Synopsis Bid-Ask Spreads, Volatility, Quote Revisions, and Trades of Thinly Traded Futures Contracts by : Charlie Charoenwong
Download or read book Bid-Ask Spreads, Volatility, Quote Revisions, and Trades of Thinly Traded Futures Contracts written by Charlie Charoenwong and published by . This book was released on 2013 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, intraday characteristics of thinly traded equity index futures contracts from the Singapore Exchange are examined. Though the BAS pattern during the trading day appears quite flat, an increase in risk widens the spread and a higher trading activity reduces it. The difference in volatility between days with and without trades is not significant. When trades do occur, there are more quote revisions, which is positively related to the number of trades. Higher quote revisions increase the likelihood of transactions and, when quotes are current, revisions that are accompanied by trades carry new information. We provide evidence that thinly traded contracts can be liquid if their price quotes are current.
Book Synopsis Intraday Trading Patterns and Day-of-the-Week in Stock Index Options Markets by : Min-Hsien Chiang
Download or read book Intraday Trading Patterns and Day-of-the-Week in Stock Index Options Markets written by Min-Hsien Chiang and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This article studies the intraday patterns of trading volume, volatility, and spreads and day-of-the-week variations for stock index options traded on the Taiwan Futures Exchange (TAIFEX). In addition, we examine the overnight variations in returns, volatility and spreads as well. We find that trading volume of TAIFEX options exhibit a U-shaped pattern. While the volatility at the market open is extremely volatile, the volatility quickly levels off for much of the rest of a trading. The bid-ask spreads pattern for TAIFEX options approximately follows a U-shaped pattern with a small hump immediately after 13:00 hours. The mean returns at Monday open for TAIFEX calls are lower while returns at the end of a trading day are larger. Calls have smaller overnight variations in volatility and bid-ask spreads compared to those in puts.
Book Synopsis An Intraday Analysis of Liquidity and Price Volatility in the S&P 500 Index Futures Market by : George H. K. Wang
Download or read book An Intraday Analysis of Liquidity and Price Volatility in the S&P 500 Index Futures Market written by George H. K. Wang and published by . This book was released on 1990 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Technical Analysis in the Options Markets by : Richard Hexton
Download or read book Technical Analysis in the Options Markets written by Richard Hexton and published by . This book was released on 1993 with total page 240 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a study of one of the most important tools for helping to predict the future movement of share prices - technical analysis. Institutional and private investor alike now consider it indispensible for giving information on price movements in the short term as well as indicating the accurate timing of buying and selling - essential in the traded options market.
Book Synopsis Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market by : Young-Hye Cho
Download or read book Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market written by Young-Hye Cho and published by . This book was released on 2010 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we examine the impact of market activity on the percentage bid-ask spreads of Samp;P 100 index options using transactions data. We propose a new market microstructure theory which we call derivative hedge theory, in which option market percentage spreads will be inversely related to the option market maker's ability to hedge his positions in the underlying market, as measured by the liquidity of the latter market. In a perfect hedge world, spreads arise from the illiquidity of the underlying market, rather than from inventory risk or informed trading in the option market itself. We find option market volume is not a significant determinant of option market spreads. This finding leads us to question the use of volume as a measure of liquidity and supports the derivative hedge theory. Option market spreads are positively related to spreads in the underlying market, again supporting our theory. However, option market duration does affect option market spreads, with very slow and very fast option markets both leading to bigger spreads. The fast market result would be predicted by the asymmetric information theory. Inventory model predicts big spreads in slow markets. Neither result would be observed if the underlying securities market provided a perfect hedge. We interpret these mixed results as meaning that the option market maker is able to only imperfectly hedge his positions in the underlying securities market. Our result of insignificant options volume casts doubt on the price discovery argument between stock and option market (Easley, O'Hara, and Srinivas (1998)). Asymmetric information costs in either market are naturally passed to the other market maker's hedgeing and therefore it is unimportant where the informed traders trade.
