Option Market Liquidity: Commonality and Other Characteristics

Melanie Cao, Jason Wei
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引用次数: 103

Abstract

This study examines option market liquidity using Ivy DB's OptionMetrics data. We establish convincing evidence of commonality for various liquidity measures based on the bid-ask spread, volumes, and price impact. The commonality remains strong even after controlling for the underlying stock market's liquidity and other liquidity determinants such as volatility. Smaller firms and firms with a higher volatility exhibit stronger commonalities in option liquidity. Aside from commonality, we also uncover several other important properties of the option market's liquidity. First, information asymmetry plays a much more dominant role than inventory risk as a fundamental driving force of liquidity. Second, the market-wide option liquidity is closely linked to the underlying stock market's movements. Specifically, the options liquidity responds asymmetrically to upward and downward market movements, with calls reacting more in up markets and puts reacting more in down markets.
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期权市场流动性:共性与其他特征
本研究使用Ivy DB的OptionMetrics数据检验期权市场流动性。我们建立了令人信服的证据,证明基于买卖价差,交易量和价格影响的各种流动性措施的共性。即使在控制了基础股票市场的流动性和波动性等其他流动性决定因素之后,这种共性仍然很强。规模较小的公司和波动率较高的公司在期权流动性方面表现出更强的共性。除了共性之外,我们还揭示了期权市场流动性的其他几个重要属性。首先,作为流动性的根本驱动因素,信息不对称的作用要比库存风险大得多。其次,市场范围内的期权流动性与标的股票市场的走势密切相关。具体来说,期权流动性对市场上下波动的反应是不对称的,看涨期权对上涨市场的反应更大,看跌期权对下跌市场的反应更大。
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