Intraday information from S&P 500 Index futures options

被引：1

作者：

Lim, Kian Guan ^{[1
]}

Chen, Ying ^{[2
]}

Yap, Nelson K. L. ^{[3
]}

机构：

[1] Singapore Management Univ, Singapore, Singapore

[2] Natl Univ Singapore, Dept Appl Probabil & Stat, Singapore, Singapore

[3] GIC Private Ltd, Singapore, Singapore

来源：

JOURNAL OF FINANCIAL MARKETS | 2019年 / 42卷

关键词：

Intraday options trading; Market efficiency; CROSS-SECTION; PREDICTABLE DYNAMICS; IMPLIED VOLATILITY; SKEWNESS; RISK; MARKET; PREFERENCE;

D O I：

10.1016/j.finmar.2018.10.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this paper, we employ the intraday transaction prices of liquid E-mini S&P 500 index futures options to form 10-min ahead risk-neutral skewness forecasts and show profitable options trading strategy net of transaction costs. We do not find profitable trading based on 10-min ahead risk-neutral volatility and only very marginal cases of profitable trading using kurtosis forecasts. The skewness profitability anomaly may be an indication of informational inefficiency in intraday S&P 500 futures options trading, which is contrary to findings using longer span daily and weekly moments. Our results lend credence to the persistence of intraday trading activities in the markets. (C) 2018 Elsevier B.V. All rights reserved.

引用

页码：29 / 55

页数：27

共 39 条

[1] Do option markets correctly price the probabilities of movement of the underlying asset? [J].