Retail Trading in Options and the Rise of the Big Three Wholesalers

被引：18

作者：

Bryzgalova, Svetlana ^{[1
,2
]}

Pavlova, Anna ^{[1
,2
]}

Sikorskaya, Taisiya ^{[1
]}

机构：

[1] London Business Sch, London, England

[2] CEPR, London, England

来源：

JOURNAL OF FINANCE | 2023年 / 78卷 / 06期

关键词：

EARLY EXERCISE; CROSS-SECTION; ORDER FLOW; VOLATILITY; BIAS; ILLIQUIDITY; DIRECTION; RETURNS; STOCKS; COSTS;

D O I：

10.1111/jofi.13285

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We document a rapid increase in retail trading in options in the United States. Facilitated by payment for order flow (PFOF) from wholesalers executing retail orders, retail trading recently reached over 60% of total market volume. Nearly 90% of PFOF comes from three wholesalers. Exploiting new flags in transaction-level data, we isolate wholesaler trades and build a novel measure of retail options trading. Our measure comoves with equity-based retail activity proxies and drops significantly during U.S. brokerage platform outages and trading restrictions. Retail investors prefer cheaper, weekly options with average bid-ask spread of 12.6%, and lose money on average.

引用

页码：3465 / 3514

页数：50

共 66 条

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