FX Option Volume

2021 ◽  
Author(s):  
Robert Czech ◽  
Pasquale Della Corte ◽  
Shiyang Huang ◽  
Tianyu Wang
Keyword(s):  
Option Volume

Option Volume and Stock Prices: Evidence on Where Informed Traders Trade

1998 ◽  
Vol 53 (2) ◽  
pp. 431-465 ◽  
Author(s):  
David Easley ◽  
Maureen O'Hara ◽  
P.S. Srinivas
Keyword(s):  
Stock Prices ◽  
Informed Traders ◽  
Option Volume

Informational role of futures volume for spot volatility

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Shailesh Rastogi ◽  
Vikas Tripathi ◽  
Sunaina Kuknor
Keyword(s):  
Generalized Method Of Moments ◽  
Spot Market ◽  
Simultaneous Equation ◽  
Simultaneous Equations ◽  
Exogenous Variable ◽  
Equation Modeling ◽  
Content Type ◽  
Option Volume ◽  
Spot Volatility

Purpose The paper aims to explore the informational role of futures volume in the simultaneous relationship between option volume and spot volatility to forecast the volatility of the underlying asset. Design/methodology/approach The generalized method of moments is used to estimate the simultaneous equations of endogeneity between spot volatility and option volume. Futures volume is specified as an exogenous variable in both legs of the estimation of simultaneous equations. However, the future volume is also tested as a dependent variable to prove preference for investment by informed investors in futures along with options. Findings The result indicates that futures volume has a significant association with the bi-directional simultaneous equation estimation between spot volatility and option volume. Moreover, the result of this paper proves that informed investors also prefer futures markets over the spot market. However, there is no change observed in the relationship between option volume and spot volatility due to either call or put options or moneyness. Originality/value The possible role of futures volume in the simultaneous equations between spot volatility and option volume has not yet been researched. This paper pioneers in demonstrating that futures volume is an exogenous variable in the simultaneous equation modeling between spot volatility and option volume. Moreover, in the contemporaneous as well as predictive relationships between spot volatility and option volume, futures volume as an exogenous variable is significant in forecasting spot volatility. In addition to this, the current paper uniquely provides evidence of investment in futures also over the spot market by informed investors.

The Informational Role of Stock and Option Volume

1999 ◽  
Author(s):  
Kalok Lok Chan ◽  
Y. Peter Peter Chung ◽  
Wai-Ming Fong
Keyword(s):  
Option Volume

Option volume and volatility response to scheduled economic news releases

2003 ◽  
Vol 23 (4) ◽  
pp. 315-345 ◽  
Author(s):  
John R. Nofsinger ◽  
Brian Prucyk
Keyword(s):  
Economic News ◽  
News Releases ◽  
Option Volume
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