Trade duration, informed trading, and option moneyness

The directional information content of options volumes

“…Furthermore, the trading motives of options market participants and the characteristics of their options transactions differ substantially depending on their option moneyness choices and position changes. Previous literature on the KOSPI 200 options market shows that the ITM and OTM options markets starkly differ in terms of their leverage, investor composition, order size, and information content (Chung, Park, & Ryu, 2016;Yang, Kutan, & Ryu, 2018). All of these evidence motivate us to further decompose the information variables for various trader classes into moneyness groups and then separately estimate the predictive regression by option moneyness.…”

Comprehensive Market Microstructure Model: Considering the Inventory Holding Costs

“…The recent studies reviewed in the section titled Introduction show that all these microstructure factors convey significant information and are important considerations for investors who make strategic order submissions. For example, shorter order durations reflect the dominance of aggressive orders and/or the prevalence of ordersplitting strategies (Kim, Ryu 2012;Ryu 2012), whereas longer trade durations reflect the prevalence of passive order submissions and cause the market to slow down (Chung et al 2016). Futures traders may decide to submit large orders to maximize their profit before their information superiority disappears.…”

“…If they decide to trade, there are no other tools for implementing the strategic transaction except adjusting the size and speed of orders. That is why previous studies, including Chung et al (2016), emphasize that order duration and size are the two most important variables that futures traders choose based on their trading strategies.…”

“…Most recently, Chung et al (2016) and Ryu (2016) also exploit the MRR framework to develop advanced structural models that consider market depth when examining the intraday price formation and spread components. Most previous structural microstructure models do not consider the current level of market liquidity that all investors face when deciding to submit their orders.…”

The impacts of public news announcements on intraday implied volatility dynamics

“…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, 2016;. 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 Yang, Kutan, & Ryu, 2018).…”