WebOrder Flow and Expected Option Returns* Dmitriy Muravyev Boston College This version: January 20, 2015 Abstract The paper presents three pieces of evidence that the inventory risk faced by market-makers has a primary effect on option prices. First, I introduce a simple method for decomposing the price impact of trades into inventory-risk and ... WebSep 1, 2012 · Order Flow and Expected Option Returns Home Supply Chain Management Inventory Order Flow and Expected Option Returns Authors: Dmitriy Muravyev Abstract …
Day Trading Using Options Order Flow - Quant Data - YouTube
WebThis paper presents a robust new finding of a significant negative relation between equity option returns and the volatility-of-volatility (VOV). After controlling for numerous existing option and stock characteristics, the VOV effect remains significantly negative. It also survives many robustness checks. WebJan 3, 2016 · We find that expected stock returns are related cross-sectionally to the sensitivities of returns to fluctuations in aggregate liquidity. Our monthly liquidity measure, an average of individual-stock measures estimated with daily data, relies on the principle that order flow induces greater return reversals when liquidity is lower. great plains assp
Order Flow and Expected Option Returns: Ingenta Connect
Webdaily option returns, I find that option order imbalances attributable to inventory risk have five times larger impact on option prices than previously thought. Finally, I find that past … WebNov 23, 2011 · D. Muravyev: Order Flow and Expected Option Returns November 23, 2011 The paper presents three pieces of evidence that the inventory risk faced by market-makers has a primary effect on option prices. First, I introduce a simple method for decomposing the price impact of trades into inventory-risk and asymmetric-information components. http://dmurav.com/Internet%20Appendix%20to%20Order%20Flow%20and%20Option%20Returns.pdf great plains arena proshop embroidery machine