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- W70203923 abstract "The introduction of overnight options at the Sydney Futures Exchange (SFE) offers a unique opportunity to study trading behavior with a different market microstructure, namely the SFE overnight market. This study first examines trading patterns on 3-Year & 10-Year TBond Futures overnight options. Unlike a normal U-Shaped pattern, it is found that the bid-ask spreads for overnight options are relatively flat during the first half of the trading night, before fluctuating through the second half of the night. One explanation would be the special nature of the overnight options: it was designed to hedge against USA market risk. Quoted bid-ask spreads appear to be explained by the transaction price, trading volume and return volatility. Over time, the quoted bid-ask spread narrowed for most observations, while trading volume and trading frequency became larger. Next the impacts on the 3-Year TBond Futures and its day options when overnight options are introduced are examined. Results indicate that the quality of the underlying 3 & 10-Year TBond futures has been improved by the introduction of short dated options as the bid-ask spread and the variance of the pricing error both decrease, while there was an increase in trading volume and trading frequency. Results for the day options were mixed, indicating that trading in these instruments was not unambiguously improved." @default.
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- W70203923 date "2003-01-01" @default.
- W70203923 modified "2023-10-16" @default.
- W70203923 title "The Trading Behaviour of Australian Treasury Bond Futures Overnight Options and the Impact of Their Introduction" @default.
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