Expiration Day Effects of Index Options and Futures PDF Download

Author: Hans R. Stoll
Publisher:
ISBN:
Category : Arbitrage
Languages : en
Pages : 104

View

Book Description

Author: Niclas Hagelin
Publisher:
ISBN:
Category :
Languages : en
Pages :

View

Book Description
This study examines index futures and options expiration day effects on the Swedish market. While the results for the period 1988-1998 indicate that trading volumes on the cash market were significantly higher on expiration days than on other days, no evidence suggesting that price distortions occurred is found. This could be due to the longer settlement period on the Swedish market, compared with that on the Canadian, German, and the US markets, where price distortions have been documented. However, some price distortion may have been experienced for the first half of the sample period, a finding which the cause for is discussed.

Author: Karl Felixson
Publisher:
ISBN: 9789515557469
Category :
Languages : en
Pages : 19

View

Book Description

Author: Christian Schlag
Publisher:
ISBN:
Category :
Languages : en
Pages :

View

Book Description
There is a significant increase in trading volume on quarterly futures expiration days in Germany. Delays in the opening for the majority of index stocks indicate that a large part of this extraordinary volume is indeed traded right at the opening of the market. An increase in trading activity is also observed over the ten minute settlement period for index options. Volatility remains unchanged around the expiration of a futures contract. An increase is found for the ten minute settlement period of DAX options. Return reversals as the measure for the economic costs of contract expirations are significantly higher when a futures contract expires at the open. When an option expires at the close no clear pattern for reversals can be found.

Author: Donald D. Lien
Publisher:
ISBN:
Category :
Languages : en
Pages :

View

Book Description
This study examines whether the expiration-day effects of stock options traded in Australian Stock Exchange on return, volatility, trading volume, and temporary price changes of individual stocks vary with the availability and the settlement method of individual stock futures contracts. Using transaction data of the stocks that have both options and futures contacts from 1993 to 1997, we find that options expiration has significant effects on return and volatility of the underlying stocks in absence of individual stock futures. After introduction of a cash-settled stock futures contract, the effects decrease notably. However, the switch of a futures contract from cash settlement to physical delivery promotes the expiration effects on return and volatility and boosts temporary price changes on expiration days. Finally, options expiration has little effect on trading volume. Trading activity tends to behave normally regardless whether stock futures contracts are available or not.

Author: Sy Malick Ousmane
Publisher:
ISBN:
Category : Arbitrage
Languages : en
Pages : 303

View

Book Description

Author: John Millers
Publisher: McGraw-Hill Companies
ISBN:
Category : Business & Economics
Languages : en
Pages : 264

View

Book Description

Author: Jeff Augen
Publisher: FT Press
ISBN: 0137013515
Category : Business & Economics
Languages : en
Pages : 180

View

Book Description
Equity and index options expire on the third Friday of each month. As that moment approaches, unusual market forces create option price distortions, rarely understood by most investors. These distortions give rise to outstanding trading opportunities with enormous profit potential. In Trading Options at Expiration: Strategies and Models for Winning the Endgame, leading options trader Jeff Augen explores this extraordinary opportunity with never-before published statistical models, minute-by-minute pricing analysis, and optimized trading strategies that regularly deliver returns of 40%-300% per trade. You’ll learn how to structure positions that profit from end-of-contract price distortions with remarkably low risk. These strategies don’t rely on your ability to pick stocks or predict market direction and they only require one or two days of market exposure per month. Augen also discusses: · Three powerful end-of-cycle effects not comprehended by contemporary pricing models · Trading only one or two days each month and avoiding overnight exposure · Leveraging the surprising power of expiration-day pricing dynamics If you’re looking for an innovative new way to reignite your returns no matter where the markets move, you’ve found it in Trading Options at Expiration. “Learn and profit from Jeff Augen’s book: It clearly explains how to take advantage of market inefficiencies in collapsing implied volatility, effects of strike price, and time decay. A must-read for individuals who are options oriented.” --Ralph J. Acampora, CMT, Director of Technical Analysis Studies, New York Institute of Finance “A fantastic, insightful book full of meticulously compiled statistics about anomalies that surround option expiration. Not only does Augen present a set of effective trading strategies to capitalize on these anomalies, he walks through the performance of each across several expirations. His advice is practical and readily applicable: He outlines common pitfalls, gives guidance on timing your executions, and even includes code that can be used to perform the same calculations he does in the text. A thoroughly enjoyable read that will give you a true edge in your option trading.” --Alexis Goldstein, Vice President, Equity Derivatives Business Analyst “Mr. Augen makes a careful and systematic study of option prices at expiration. His translation of price behavior into trading strategy is intriguing work, and the level of detail is impressive.” --Dr. Robert Jennings, Professor of Finance, Indiana University Kelly School of Business “This book fills a gap in the vast amount of literature on derivatives trading and stands out for being extremely well written, clear, concise, and very low on jargon--perfect for traders looking to evolve their equity option strategies.” --Nazzaro Angelini, Principal, Spearpoint Capital “Instead of considering macro-time strategies that take weeks to unfold, Jeff Augen is thinking micro here--hours or days--specifically the days or hours right before expiration, and harnessing grinding, remorseless options decay for profit. He builds a compelling case for the strategy here. The concept of using ratio spreads plus risk management for as brief a period as one day--open to close--to capture expiring premium is worth the price of admission alone. A superb follow-up to his first book. Must-read for the serious options student.” --John A. Sarkett, Option Wizard software

Author: Joseph K. W. Fung
Publisher:
ISBN:
Category : Clearing of securities
Languages : en
Pages : 31

View

Book Description

Author: George Andrew Karolyi
Publisher:
ISBN:
Category :
Languages : en
Pages :

View

Book Description
This study evaluates the impact of stock trading activity around expirations of Japanese stock index options and futures contracts on the underlying stock prices. Though these expiration days are associated with higher than average trading volume, tests indicate that the intraday return volatility in the last hours of trading on expiration days and the first hours following expirations is only marginally greater than that on non-expiration days. Moreover, portfolio return reversals of 0.1% or less during the last hour of trading at expiration and the first hours of trading following the expiration are statistically insignificant and smaller in magnitude than typical bid-ask spreads, commission rates and market impact costs would warrant. Finally, in comparing the expiration effects for the two similar Nikkei index futures contracts traded in the Singapore and the more-heavily-regulated Osaka/Tokyo markets, no important differences can be discerned. The implications of these findings for the newest restrictions on index arbitrage activity by Japan's Ministry of Finance and the Tokyo Stock Exchange are discussed.