Title

Stealth Trading In Options Markets

Abstract

We investigate how price discovery occurs in the options markets through traders' trade size choice. By employing transactions data on all options traded on a sample of 100 firms, we show that informed traders fragment their orders into small (medium) trades for low (high) volume contracts. We also find that almost 60% of the price discovery occurs in the exchange with the largest market share for a given option, where informed traders favor medium size trades. Upon examining distinct option series for a given stock, we find that at-the-money calls display the highest information share. COPYRIGHT 2007, SCHOOL OF BUSINESS ADMINISTRATION.

Publication Date

1-1-2007

Publication Title

Journal of Financial and Quantitative Analysis

Volume

42

Issue

1

Number of Pages

167-188

Document Type

Article

Personal Identifier

scopus

DOI Link

https://doi.org/10.1017/s0022109000002234

Socpus ID

33947662041 (Scopus)

Source API URL

https://api.elsevier.com/content/abstract/scopus_id/33947662041

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