“…Irrespective of investor type, Types III and V violations occur most frequently for small trades, meaning that small traders are less informed and noisy than are option investors who can submit large orders. These findings again support the idea that large traders armed with wealth and experience generally have better information than small traders have in the KOSPI 200 options market (Ahn et al, 2010;Chung et al, 2016). For individual trades, Type III violation is observed much more frequently for small trades (47.06%) than for large trades (28.75%).…”
Section: Domestic Institutions (Institutions) and Foreign Investors supporting
confidence: 78%
“…Some atypical or irregular trading may prevail at maturity dates because of high rates of speculative trading and/or trading to close existing positions (Chang & Lin, 2015;Chung, Park, & Ryu, 2016;Ryu, 2011Ryu, , 2015bRyu, , 2016. Using this dataset has several benefits.…”
Section: Sample Datamentioning
confidence: 99%
“…However, in these cases also, other trades exhibit significant violation rates; thus, factors besides the microstructure factors explain the systematic violation patterns. Our interest is motivated by the information content of trade size and the association between size and price dynamics (Ahn, Kang, & Ryu, 2010;Angelidis & Benos, 2009;Chung et al, 2016;Lee & Yi, 2001;Ryu, 2013aRyu, , 2015a. Compared to other developed derivatives markets (Bakshi et al, 2000;P erignon, 2006), the restrictive role of the KOSPI 200 options' microstructure factors in explaining the violations requires us to investigate other dimensions of option market characteristics.…”
Section: Domestic Institutions (Institutions) and Foreign Investors mentioning
confidence: 99%
“…For example, ITM & Large indicates large trades in the ITM option market.18 Previous studies claim that domestic individual investors prefer to invest in the KOSPI 200 options market to exploit the high leverage effect of OTM options and the lottery-like properties of the KOSPI 200 OTM options trading, whereas foreign investors, who are more sophisticated and better informed, prefer ITM options trading to exploit the high sensitivity provided by the ITM options(Ahn et al, 2008(Ahn et al, , 2010Chung et al, 2016;Kim & Ryu, 2015b). For each option moneyness, this table presents the occurrence rates of the Types I-V violations by further classifying options trades based on their sizes.…”
“…Irrespective of investor type, Types III and V violations occur most frequently for small trades, meaning that small traders are less informed and noisy than are option investors who can submit large orders. These findings again support the idea that large traders armed with wealth and experience generally have better information than small traders have in the KOSPI 200 options market (Ahn et al, 2010;Chung et al, 2016). For individual trades, Type III violation is observed much more frequently for small trades (47.06%) than for large trades (28.75%).…”
Section: Domestic Institutions (Institutions) and Foreign Investors supporting
confidence: 78%
“…Some atypical or irregular trading may prevail at maturity dates because of high rates of speculative trading and/or trading to close existing positions (Chang & Lin, 2015;Chung, Park, & Ryu, 2016;Ryu, 2011Ryu, , 2015bRyu, , 2016. Using this dataset has several benefits.…”
Section: Sample Datamentioning
confidence: 99%
“…However, in these cases also, other trades exhibit significant violation rates; thus, factors besides the microstructure factors explain the systematic violation patterns. Our interest is motivated by the information content of trade size and the association between size and price dynamics (Ahn, Kang, & Ryu, 2010;Angelidis & Benos, 2009;Chung et al, 2016;Lee & Yi, 2001;Ryu, 2013aRyu, , 2015a. Compared to other developed derivatives markets (Bakshi et al, 2000;P erignon, 2006), the restrictive role of the KOSPI 200 options' microstructure factors in explaining the violations requires us to investigate other dimensions of option market characteristics.…”
Section: Domestic Institutions (Institutions) and Foreign Investors mentioning
confidence: 99%
“…For example, ITM & Large indicates large trades in the ITM option market.18 Previous studies claim that domestic individual investors prefer to invest in the KOSPI 200 options market to exploit the high leverage effect of OTM options and the lottery-like properties of the KOSPI 200 OTM options trading, whereas foreign investors, who are more sophisticated and better informed, prefer ITM options trading to exploit the high sensitivity provided by the ITM options(Ahn et al, 2008(Ahn et al, , 2010Chung et al, 2016;Kim & Ryu, 2015b). For each option moneyness, this table presents the occurrence rates of the Types I-V violations by further classifying options trades based on their sizes.…”
“…In fact, spread sizes, depths, investor participation rates, and degrees of informed trading differ significantly across KOSPI 200 options contracts at different moneyness levels. Options investors’ trading motives and transaction characteristics also differ by the option moneyness level that the investors choose (Chung, Park, & Ryu, ; Ryu & Yang, ). Previous studies on the KOSPI 200 options market show stark differences in the leverage, investor composition, order size, and information content of the ITM and OTM options markets (Kim & Ryu, ; Yang, Kutan, & Ryu, ).…”
We examine the responses of intraday option‐implied volatilities to scheduled announcements of macroeconomic indicators. The increase in implied volatility around macroeconomic news announcements is more pronounced for puts than for calls and is stronger for announcements made during trading hours than for those made during nontrading hours. These effects are also more pronounced in the crisis and postcrisis periods than in the precrisis period. Monetary policy announcements have a more substantial impact on volatility than other announcements have, even after controlling for news surprise components. The impact appears to be greater for policy rate hikes than for policy rate cuts.
This study examines the directional information content realized by trades in a highly liquid options market by constructing put–call volume ratios and decoupled options‐to‐spot volume ratios. By investigating whether the specific investor type predicts underlying returns and the method used to exploit a directional information advantage, we find that foreign investment firms can leverage their directional information by executing buy trades to open new positions. Their open‐buy trades significantly predict next‐day spot returns, whereas trades initiated by domestic firms do not. This relationship becomes stronger for out‐of‐the‐money, large, and short‐horizon options trades and during the short‐sale restriction period.
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