The Role of Fleeting Orders on Options Expiration

Autor:	Pankaj K. Jain, Suchi Mishra, Antonio Figueiredo
Rok vydání:	2021
Předmět:	Spillover effect Order (exchange) Level data Open interest (futures) Price pressure Expiration Business Monetary economics Stock price Market liquidity
Zdroj:	SSRN Electronic Journal.
ISSN:	1556-5068
DOI:	10.2139/ssrn.3805050
Popis:	We employ NASDAQ order level data to analyze intraday trading at option expirations and cross-market price pressure spillover. Algorithmic traders appear to place proportionately more fleeting orders in optionable stocks on option expiration versus non-expiration days. Since most observed fleeting orders are outside the NBBO, we discard the possibility that their purpose is to search for latent liquidity. Relation between NBBO proximity to strike prices and fleeting order direction implies they play a role in stock price clustering on option expiration days. We show that fleeting orders impact subsequent NBBO and that fleeting order direction is related to option Open Interest.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::3f337b7c56b65717ee0de7fbd26ebef8 https://doi.org/10.2139/ssrn.3805050 Zobrazit plný text záznamu