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Intraday option price changes and net buying pressure

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  • Doojin Ryu
  • Heejin Yang

Abstract

We re-examine the effect of net buying pressure on options-implied volatility changes by analysing ultra-high-frequency microstructure data. Intraday relationships between option price dynamics and investors’ net demand are explained by the direction-learning hypothesis.

Suggested Citation

  • Doojin Ryu & Heejin Yang, 2022. "Intraday option price changes and net buying pressure," Applied Economics Letters, Taylor & Francis Journals, vol. 29(4), pages 292-297, February.
    • Handle: RePEc:taf:apeclt:v:29:y:2022:i:4:p:292-297
    DOI: 10.1080/13504851.2020.1864272
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    Cited by:

    1. Xingguo Luo & Wenye Cai & Doojin Ryu, 2022. "Information contents of intraday SSE 50 ETF options trades," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(4), pages 580-604, April.
    2. Joonhyuk Song & Doojin Ryu & Jinyoung Yu, 2023. "Changes in the options contract size and arbitrage opportunities," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(1), pages 122-137, January.
    3. Chen, Jing & Han, Qian & Ryu, Doojin & Tang, Jing, 2022. "Does the world smile together? A network analysis of global index option implied volatilities," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 77(C).

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