정보거래자의 옵션 선택에 관한 연구

• 영문명: A Study on the Option Selection of Informed Traders: A Case of Korean Index Options
• 발행기관: 강원대학교 경영경제연구소
• 저자명: 최병욱
• 간행물 정보: 『아태비즈니스연구』제14권 제2호, 33~49쪽, 전체 17쪽
• 주제분류: 인문학 > 문학
• 파일형태: PDF
• 발행일자: 2023.06.30

영문 초록

Purpose - The purpose of this study is to examine the option selection and optimal trading of informed traders in KOSPI 200 options market based on the PIN (probability of informed trading) model of Easley et al.(2002). Design/methodology/approach - This study uses TAQ (trade and quote) data provided by Korean Exchanges (KRX) which contains all the bids and trades recorded during the continuous auction trading hours for the KOSPI 200 options between May 2019 and September 2020. Findings - First, there was no difference in the PIN between call and put options in the 2019 data, but the PIN of put options was slightly higher in 2020. Second, regardless of the type of option, the PIN was higher for in-the-money (ITM) options, and the PIN of out-of-the-money (OTM) options was the same as or slightly higher than that of at-the-money (ATM) options. Third, we found that the PIN decreases as trading liquidity increases, and fourth, the PIN increased sharply as the expiration date approached, especially for OTM options, while ITM and ATM options showed relatively weak effects. Fifth, for foreign and institutional investors, the periodicity of orders was observed in milliseconds, especially for foreign investors, where the periodicity of orders was clear and frequent in OTM options. The results suggest that the purpose of option trading varies depending on the moneyness from the perspective of the informed trader.

목차

Ⅰ. 서론

Ⅱ. 모형과 데이터

Ⅲ. 분석

Ⅳ. 결론

References

키워드

High-Frequency Trading (HFT) Index Options Market Microstructure Probability of Informed Trading (PIN)