Net buying pressure and option informed trading

Net buying pressure and option informed trading. Chao-Chun Chen∗ Shih-Hua Wang†. Abstract. To differentiate the impacts of volatility trading and direction ...

Net Buying Pressure and Option Informed Trading - Chen - 2017

The literature usually measures the excess demand for options by net buying pressure, defined by the difference between the number of buyer- ...

Net Buying Pressure and Informed Trading in the Options Market

This study tested whether option trading around quarterly earnings announcements is either directionally motivated and/or volatility motivated.

Net Buying Pressure and Informed Trading in the Options Market

By employing the modified net buying pressure as a measure of informed option trading, this study tested whether option trading around quarterly earnings ...

Net buying pressure and the information in bitcoin option trades

However, volatility can only be traded in options markets, using strategies like butterfly spreads, straddles or strangles. Regression models devised by Bollen ...

Net Buying Pressure and the Information in Bitcoin Option Trades

Abstract:How do supply and demand from informed traders drive market prices of bitcoin options? Deribit options tick-level data supports the ...

Net Buying Pressure and Option Informed Trading - IDEAS/RePEc

Chao‐Chun Chen & Shih‐Hua Wang, 2017. "Net Buying Pressure and Option Informed Trading," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 37(3), ...

Investors' net buying pressure and implied volatility dynamics

Bollen and Whaley (2004) suggest that options' NBP affects the IV dynamics because of limitations on arbitrage trading, in favor of the limits-to-arbitrage ...

Net Buying Pressure and Option Informed Trading - ResearchGate

Download Citation | Net Buying Pressure and Option Informed Trading: Net Buying Pressure and Option Informed Trading | To differentiate between the effects ...

Net Buying Pressure and the Information in Bitcoin Option Trades

How do supply and demand from informed traders drive market prices of bitcoin options? Deribit options tick-level data supports the limits-to-arbitrage ...

Net Buying Pressure and Option Informed Trading - VLEX 855669815

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The impact of net buying pressure on index options prices

After controlling for options traders' hedging demand, we find that both delta- and vega-informed trading play significant roles in explaining changes in ...

Intraday option price changes and net buying pressure

We re-examine the effect of net buying pressure on options-implied volatility changes by analysing ultra-high-frequency microstructure data.

Informed Trading in the Index Option Market

small but informed traders, whereas option markets attract investors wanting to trade in size. ... net buying pressure for both S&P 500 index option and options ...

Informed trading in options market and stock return predictability

Second, regarding what to trade, the volatility informed trade call and put options in the same direction, thereby exerting net buying pressure of the same sign ...

The Impact of Intraday Net Buying Pressure on Implied Volatility in ...

(1998) show that options is the instrument of choice for informed traders, because option volumes contain information about future stock prices. Kang and Park ( ...

Informed Trading in the Stock Market and Option-Price Discovery

“Does Net Buying Pressure Affect the Shape of Implied Volatility Functions?” Journal of Finance, 59 (2004), 711–753.CrossRefGoogle Scholar.

Informed Trading in Options or Price Pressure in Stocks ... - ABFER

the biggest abnormal net selling while stocks in the high DOTS decile exhibit the largest abnormal net buying. The large order imbalances in ...

Volatility Information Trading in the Option Market

option-implied volatilities are positively related to the net buying pressure for ... mation can trade in either the option or the stock market, while informed ...

The informational role of algorithmic traders in the option market

In addition, their net buying pressure can also predict future index returns. According to the volatility-learning hypothesis, (volatility) informed investors' ...