Topic
Open interest (futures)
About: Open interest (futures) is a research topic. Over the lifetime, 47 publications have been published within this topic receiving 1073 citations.
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01 Jan 2009TL;DR: In this article, the authors developed statistical methods to detect informed trading in options markets and applied these methods to 31 companies from various sectors over 14 years analyzing approximately 9.6 million option prices.
Abstract: We develop statistical methods to detect informed trading in options markets. We apply these methods to 31 companies from various sectors over 14 years analyzing approximately 9.6 million option prices. We find that option informed trading tends to cluster prior to certain events, takes place more in put than call options, generates easily large gains exceeding millions,is not contemporaneously reflected in the underlying stock price, involves around the money options during calm times and out-of-the-money options during turbulent times. These findings are not driven by false discoveries in informed trades which are controlled using multiple hypothesis testing techniques.
8 citations
TL;DR: In this paper, the authors propose a methodology for determining optimal portfolios in such a context and then use that methodology to solve the portfolio problem of investors whose long-term bond holdings are constrained, which generates undesirable interest rate risk that are hedged with futures contracts.
8 citations
Posted Content•
TL;DR: In this article, the authors developed statistical methods to detect informed trading in options markets and applied these methods to 31 companies from various sectors over 14 years analyzing approximately 9.6 million option prices.
Abstract: We develop statistical methods to detect informed trading in options markets. We apply these methods to 31 companies from various sectors over 14 years analyzing approximately 9.6 million option prices. We find that option informed trading tends to cluster prior to certain events, takes place more in put than call options, generates easily large gains exceeding millions, is not contemporaneously reflected in the underlying stock price, involves around the money options during calm times and out-of-the-money options during turbulent times. These findings are not driven by false discoveries in informed trades which are controlled using multiple hypothesis testing techniques.
7 citations
TL;DR: In this article, the authors investigated empirically smoothing-out ratios and average holding periods of different Eurex futures such as the Euro-Bund, the DAX, the DJ Euro STOXX 50 future and others from 1999 to 2002.
Abstract: This paper investigates empirically smoothing-out ratios and average holding periods of different Eurex futures such as the Euro-Bund, the DAX, the DJ Euro STOXX 50 future and others from 1999 to 2002. A methodology that only needs daily volume and open interest data is presented (including an innovative open interest correction algorithm). It can be shown that average holding periods decrease over time in most of the examined futures. Other interesting results are the June contract phenomenon in the DAX future and a 09/11 effect in several Eurex futures.
7 citations
TL;DR: In this paper, the efficacy of the put-call ratio (PCR) in predicting market return at different time scales was examined, and it was found to be an efficient predictor of the market return in a short period of 2.5 days and open interest PCR in a long period of 12 days.
Abstract: This study examined the efficacy of the Put–Call Ratio (PCR), a widely used information ratio measured in terms of volume and open interest, in predicting market return at different time scale. Volume PCR was found to be an efficient predictor of the market return in a short period of 2.5 days and open interest PCR in a long period of 12 days. Thus, traders and portfolio managers should use the appropriate PCR depending upon the time horizon of their trade and investment. The results are robust even after controlling for the information generated from the futures market.
6 citations