[PDF] Top 20 Informed Trading and Option Spreads

... Three months’ transaction level data from TAQ (from November 1994 to January 1995) are used to calculate the stock-related variables. In Table 2, we report the relevant summary statistics for the 573 stocks. The mean ... See full document

... information trading but does show convincing evidence of speculation by small ...of informed trading, it is hard to imagine that it is the least likely informed ones - the small investors - ... See full document

... that option traders are particularly active in the days surrounding public news releases: option trading activity is unusually high both immediately before news days and on news ...profitable ... See full document

... In spite of the importance of this market, there are not many models who analyse the bond market. Dunne et al. (2007) consider the interaction be- tween the inter-dealer (B2B) and the dealer-to-customer (B2C) segments of ... See full document

... Option trading represents an important component of the market ...the trading volume of options should be indeterminate since one can create an equivalent option position by trading the ... See full document

... bid-ask spreads are around zero, which is as expected given the definition of this variable as a regression ...bid-ask spreads, for instance, is much smaller than the simple mean of the stock-level ... See full document

... insider trading activities on a stock ...to option trading case and found the dependence between differences of function values computed at some deltas for European-style options, and underlying ... See full document

... the option of allowing traders (informed as well as those who are purely liquidity seeking) the choice of submitting either a large order or a series of small orders (defined as a worked ...that ... See full document

... While the above static models analyse the overvaluation generated by optimistic beliefs, other studies adopt dynamic models to show that the price can be higher than the valuation of all investors because of the ... See full document

... bull spreads (80 calls at one strike and 80 at another), it is not recorded even though a total of 160 options are traded while an order for 100 naked calls would ...the trading volume on the observed ... See full document

... with informed liquidity takers) through high speed adjustment of their quotes in response to market information allows them to prudently quote tighter ...new trading venue on the narrowing of spreads ... See full document

... for informed trading at a market level by comparing aggregate variables such as prices and volumes between stock and option ...between option and stock markets, finding mixed support for ... See full document

... of informed trading based on positive or negative private information, the difference between the levels of each can be used to measure the structure of informed trading, which is one of the ... See full document

... special trading regulation and market ...1 trading rule” since 1995, which prevents investors from selling stocks bought on the same day (Guo et ...unique trading rule, however, goes counter to the ... See full document

... The first related literature examines whether institutional investors possess superior information about firms’ future performance. For example, Ali et al. (2004) finds a positive association between changes in aggregate ... See full document

... Stock price and volatility further explains the return premium earned by options listed under insider-traded stocks. For calls, the significant insider premium should be generated by the further stock price increase. As ... See full document

... attract informed traders who impound the private information into stock prices through informed trading? A related limitation of future stock price/returns–based associations is that they do not ... See full document

... The above mentioned developments have drastically changed our outlook on the company’s future. Till last year we strongly believed that we could turn OTC in a steady stable profitable trading company. Now we are ... See full document

... The article proceeds as follows. In Section 2, we provide an overview of the global foreign exchange market. In Section 3, we discuss the Reuters Spot Matching service – the source of the data – and the main platform ... See full document

... levels as news of Bear Stearns troubles hit the market, only to return to BBB+ levels within a week. During this time a spot-implied model would have given a rapid succession of downgrades to indicate a BBB-credit ... See full document