Publication Type
Journal Article
Version
submittedVersion
Publication Date
1-2019
Abstract
In this paper we employ intraday transaction prices of liquid E-mini S&P 500 index futuresoptions to form 10-minutes ahead risk-neutral skewness forecasts and show profitable optionstrading strategy net of transaction costs. We do not find profitable trading based on 10-minutesahead risk-neutral volatility and only very marginal cases of profitable trading using kurtosisforecasts. The skewness profitability anomaly may be an indication of informational marketinefficiency in intraday S&P 500 futures options markets, which is contrary to findings usinglonger-span daily and weekly moments. Our results lend credence to the persistence of intradaytrading activities in the markets.
Keywords
Intraday Options trading, Market Efficiency
Discipline
Finance | Finance and Financial Management
Research Areas
Finance
Publication
Journal of Financial Markets
Volume
42
First Page
29
Last Page
55
ISSN
1386-4181
Identifier
10.1016/j.finmar.2018.10.001
Publisher
Elsevier
Citation
LIM, Kian Guan; YING, Chen; and YAP, Kian Leong Nelson.
Intraday information from S&P 500 index futures options. (2019). Journal of Financial Markets. 42, 29-55.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/6403
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1016/j.finmar.2018.10.001