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Erscheinungsjahr: 
2014
Schriftenreihe/Nr.: 
Working Paper No. 730
Verlag: 
Queen Mary University of London, School of Economics and Finance, London
Zusammenfassung: 
We study the real-time characteristics and drivers of jumps in option prices. To this end, we employ high frequency data from the 24-hour E-mini S&P 500 options market. We find that option prices do not jump simultaneously across strikes and maturities and are uncorrelated with jumps in the underlying futures price. 14% to 28% of detected option price jumps occur around scheduled news releases. However, it is illiquidity rather than the news content that drives jumps. Evidence suggests that option traders increase bid-ask spreads to account for trading against investors who are skilled processors of public releases.
Schlagwörter: 
Asymmetric information
Co-jumps
Limit order markets
Liquidity
Option Markets
News announcements
JEL: 
C58
G10
G12
G13
Dokumentart: 
Working Paper

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