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Marchés dérivés et trading de volatilité

Author

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  • Gunther Capelle-Blancard

Abstract

This article investigates the implications of volatility trading on the behavior of informed traders. The major finding is that volatility traders evict directional traders from the options market. Indeed, we provide conditions under which informed-volatility trades have a positive impact on options bid-ask spread so that informed-directional traders choose the spot market. While these results do not confirm that option returns lead spot returns, they are consistent with previous empirical findings. Classification JEL : C32, G12, G14.

Suggested Citation

  • Gunther Capelle-Blancard, 2003. "Marchés dérivés et trading de volatilité," Revue économique, Presses de Sciences-Po, vol. 54(3), pages 663-673.
    • Handle: RePEc:cai:recosp:reco_543_0663
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    Cited by:

    1. Gunther Capelle-Blancard, 2010. "Are derivatives dangerous?," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00605908, HAL.
    2. Gunther Capelle-Blancard, 2010. "Are Derivatives Dangerous? A Literature Survey," International Economics, CEPII research center, issue 123, pages 67-89.
    3. repec:dau:papers:123456789/5069 is not listed on IDEAS

    More about this item

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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