Econ Papers Daily / 期刊论文
交易量在交易清淡期权市场中的信息作用
The Informational Role of Trading Volume in Thinly Traded Options Markets
摘要
Options on agricultural futures contracts are often thinly traded, with a significant percentage of contracts having zero trading volume across various strikes and maturities. When trading volume is zero, the Chicago Mercantile Exchange (CME) manually determines options prices. This study evaluates the accuracy and adequacy of these artificial prices. The results indicate that when trades occur after one or more days of zero volume, prices move significantly, suggesting that options settled with zero volume may not effectively reflect market expectations regarding future prices. Moreover, higher implied volatilities are often observed for options far into or out of the money, particularly for options with zero trading volume. Our findings provide insights into the crop insurance program, where implied volatilities derived from options serve as a key parameter in determining premiums.
中文摘要
农产品期货合约的期权往往交易清淡，在不同执行价格和到期期限上，相当大比例的合约成交量为零。当成交量为零时，芝加哥商品交易所（CME）会人为确定期权价格。本研究评估了这些人为价格的准确性和充分性。结果表明，当在一个或多个零成交量交易日之后发生交易时，价格会显著变动，这表明以零成交量结算的期权可能无法有效反映市场对未来价格的预期。此外，对于深度实值或深度虚值的期权，尤其是零成交量的期权，往往观察到更高的隐含波动率。我们的发现为农作物保险计划提供了启示，在该计划中，由期权推导出的隐含波动率是确定保费的关键参数。