Net Buying Pressure and Option Informed Trading

被引：10

作者：

Chen, Chao-Chun ^{[1
]}

Wang, Shih-Hua ^{[2
]}

机构：

[1] Tunghai Univ, Dept Finance, 1727,Sec 4,Taiwan Blvd, Taichung 40704, Taiwan

[2] Yuanta Bank, Taichung, Taiwan

来源：

JOURNAL OF FUTURES MARKETS | 2017年 / 37卷 / 03期

关键词：

IMPLIED VOLATILITY; STOCK-PRICES; VOLUME; INFORMATION;

D O I：

10.1002/fut.21797

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

To differentiate between the effects of volatility trading and direction trading on an option market, this study decomposes net buying pressure of options into volatility-motivated demand and direction-motivated demand and examines their information content accordingly. With the two proposed measures, we find that changes in implied volatility of TAIEXOTMput options are driven by both volatility trading and directional trading over the sample period before the onset of the 2011 U. S. debt-ceiling crisis, though the volatility trading effect is less than the directional trading effect. (C) 2016 Wiley Periodicals, Inc. Jrl Fut Mark 37: 238-259, 2017

引用

页码：238 / 259

页数：22

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