Option Net Buying Pressure and Implied Volatility
碩士 === 國立屏東科技大學 === 財務金融研究所 === 97 === This paper is different form Bollen and Whaley (2004) on net buying pressure. We define the difference between the number of buyer-motivated contracts traded each day and the number of seller-motivated contracts traded. If trades executed at a price above (belo...
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| Format: | Others |
| Language: | zh-TW |
| Online Access: | http://ndltd.ncl.edu.tw/handle/70456622941392744658 |
| Summary: | 碩士 === 國立屏東科技大學 === 財務金融研究所 === 97 === This paper is different form Bollen and Whaley (2004) on net buying pressure. We define the difference between the number of buyer-motivated contracts traded each day and the number of seller-motivated contracts traded. If trades executed at a price above (below) last price are categorized as buyer-motivated (seller-motivated) The difference is computed on a series by series basis and is multiplied by the absolute value of the option’s delta to express demand in index equivalent unit.
This paper uses the intraday data during January 2005 to December 2008 from TEJ and discusses the following topics. 1. The net buying pressure whether influences TXO option implied volatility change under different moneyness categories? 2. TXO option market supports limits to arbitrate hypothesis or learning hypothesis?
The results of empirical test find that implied volatility is affected by options trade, and ATM call 、ATM put and OTM put are remarkable. In regression tests, the four models present the inconsistent analysis results so we can’t find that TXO option market is affected by either limits to arbitrate hypothesis or learning hypothesis.
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