Expiration Day Effects of the CAC 40 Index Options PDF Download

Author: Stefan Stojanovic
Publisher:
ISBN:
Category :
Languages : en
Pages : 96

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

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

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

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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: Alain François Heude
Publisher:
ISBN:
Category :
Languages : en
Pages : 27

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Daily data available between May 2005 and August 2012 show the presence of a considerable number of outstanding PXA contracts that have not expired and been offset by taking or making delivery. The current paper concludes that CAC 40 index options displays some illiquidity problems, particularly long term maturity options that are deep out or in the money.To enhance liquidity, we test the generalized reset GR option of François-Heude and Yousfi (2013) in the PXA options' market.Our preliminary results show a significant and positive effect on the liquidity of PXA options in several ways.

Author: Steve Swidler
Publisher:
ISBN:
Category :
Languages : en
Pages :

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This study examines the effects of option expiration on the underlying securities traded on the Oslo Stock Exchange (OSE). The primary motivation for the analysis is concern among investors and regulators about market manipulation around the time of options expiration in small markets such as the OSE. Similar to studies of U.S. and U.K. markets, the results find some evidence of downward price pressure on the underlying stocks on expiration day with a rebound of prices the following day. The analysis gives little support for the conjecture that either arbitrage of offsetting activity related to option exercise is the cause for the increase in trading volume and ultimately abnormal price effects. Finally, examination of hourly returns at expiration suggests that market manipulation is not a pervasive problem.

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

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Author:
Publisher:
ISBN:
Category : Administrative law
Languages : en
Pages : 904

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Author: Michael C. Thomsett
Publisher: FT Press
ISBN: 0138005958
Category : Business & Economics
Languages : en
Pages : 303

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“The author has written a truly complete reference book on options trading, from basics to strategies to taxes and theory. Newcomers to options can quickly find a clear explanation of terms or strategies they aren’t familiar with, and experienced traders can expand their understanding of how complex strategies are created.” --Jim Bittman, author, Trade Options Like a Professional “For a new perspective about options, I recommend Michael Thomsett’s comprehensive The Options Trading Body of Knowledge. Traders at all levels will enjoy his easy-to-read style as he explains options from A to Z. The options industry has needed a reference like this for a long time.” --Marty Kearney, Senior Staff Instructor, The Options Institute The Comprehensive, Up-to-Date Reference for Every Options Trader By Michael C. Thomsett, author of the global best-seller Getting Started in Options Illuminates virtually every technique and form of options trading--including options on futures and ETFs Helps you consistently choose the right options strategies and understand your true risks Options offer investors multiple opportunities to enhance their profits. However, options trading is complex, and the sheer scope of available strategies can overwhelm traders. Today, options can support a wide range of strategies, from high risk to conservative. Moreover, options are available not only for stock equities but also for futures, indices, and mutual funds. To trade successfully, traders need an authoritative, up-to-date guide to all the strategies available to them. Now, renowned options expert and best-selling author Michael C. Thomsett has created the definitive reference for options traders at all levels of experience. Thomsett systematically illuminates each key technique and strategy: how trades are structured, how to assess risk, and when each strategy is most applicable. For most strategies, Thomsett presents detailed tables and illustrations identifying profit zones, loss zones, and breakeven points. This book thoroughly explains how option premium develops based on various elements of value, walks through the calculation of returns on options trading, discusses how federal taxation works in the options market, shows how stocks are picked for options trading, and provides a complete glossary and additional resources for traders. Thoroughly Comprehend Options Trading Risks Systematically evaluate risks associated with markets, volatility, inflation, taxation, portfolios, and knowledge Understand All the Elements of Value in an Options Trade Master concepts ranging from time-to-expiration to implied volatility Use the Right Strategies at the Right Time Know when to use covered calls, spreads, straddles, combinations, and synthetic positions The Options Marketplace: History, Evolution, and Trends Understand both the “forest” and the “trees”

Author: United States. Securities and Exchange Commission
Publisher:
ISBN:
Category : Securities
Languages : en
Pages : 880

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