Matches in SemOpenAlex for { <https://semopenalex.org/work/W2468487612> ?p ?o ?g. }
- W2468487612 abstract "Do order flows in index derivatives capture informed trading? We show that net buying pressure in index put options traded on the International Securities Exchange (ISE) positively and robustly predicts SP specifically in index futures and the ETF on the index, as well as order flow in the underlying index. The contrarian nature of return prediction from option order flow (net put buying predicts a higher index return) suggests that market makers who take the other side of the option orders have private information, and set quotes to attract orders from outside customers and brokers. Supporting the notion that market makers lower spreads to attract trading when they have information, we find that the predictive ability of put order flow for index options is higher when puts are more liquid." @default.
- W2468487612 created "2016-07-22" @default.
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- W2468487612 date "2017-01-01" @default.
- W2468487612 modified "2023-09-23" @default.
- W2468487612 title "The Informational Role of Index Option Trading" @default.
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- W2468487612 doi "https://doi.org/10.2139/ssrn.2798390" @default.
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