Systemic Risk Centre Seminar
Date: Monday, 13th March 2023 Time: 1.00 - 2.00pm GMT
Venue: Room 1.06, The Conference Room, 1st floor, Marshall Building (map)
Speaker: Xiao Xiao (Bayes Business School)
Seminar title: Signed Option Trading and Stock Market Anomalies
Abstract: This paper examines how options traders trade daily stock market mispricing measured by short-term past return and put-call option volatility spread. Anomaly return is 7.31 basis points per day when customer option traders trade along with the anomaly signal and is insignificant when they trade against it. This effect is more pronounced for out-of-money options. Copycat trades by other institutional investors and delta-hedging trades by option market makers help the correction of mispricing.
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