Using a unique dataset, this paper documents some basic facts about daily open
interest and
trading volume for Chicago Board of Options Exchange (CBOE) listed individual stock
options
over the 1990 to 2001 period. We also examine whether option trading behaviors are
different
for three different investor groups, firm-proprietary traders, full-service broker
customers and
discount broker customers. We find that option market activity is a reasonably
large fraction of
activity in underlying asset and investors buy substantially more call options than
put options.
Options trading volumes are significantly affected by past returns of underlying
stocks. During
the speculative bubble period, discount customers substantially increased their
long call open
interest while other types of investors did not show any dramatic changes in their
options trading
behavior during the bubble period.
학회소식
공지사항
[2003년 제 2차] Equity Option Market Activity 1990-2001
작성자 : 관리자
조회수 : 846
게시일 :
2003-07-12