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• W2025953863 abstract "We analyze traders' strategic behavior in an index options market, examining the relationships among expected duration, frequency of trades, trade size, and time to maturity using a modified ACD model. Using intraday data at-the-money put and call options, we obtain the following results: (1) Frequency of trades contains more information about future option price volatility than does trade size. This may result from institutional or large traders who have issued naked options using the delta-neutral strategy to hedge those options. This also suggests that informed traders use their informational advantage little by little, rather than all at once. (2) Option volatility increases as the maturity date approaches, contradicting the prediction of the Black-Scholes model. (3) The duration of the previous interval has a persistent effect on expected duration of the current interval. (4) For the estimation of the modified ACD model, the standardized distribution of duration is Weibull with γ < 1, not exponential. (5) The duration in the options market exhibits an inverse U-shaped diurnal pattern, much like that of the U.S. stock market. However, unlike in the U.S. stock market, the index options duration becomes much shorter right before lunch hour (12:00 pm). © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:105–133, 2005" @default.
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• W2025953863 date "2004-01-01" @default.
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• W2025953863 title "Traders' strategic behavior in an index options market" @default.
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• W2025953863 doi "https://doi.org/10.1002/fut.20143" @default.
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