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The role of fleeting orders on option expiration days

Author

Listed:
  • Antonio Figueiredo
  • Pankaj Jain
  • Suchismita Mishra

Abstract

We employ NASDAQ order level data to analyze intraday trading at option expirations and cross-market price pressure spillover. We observe more fleeting orders in optionable stocks on option expiration versus non-expiration days. The relation between NBBO proximity to strike prices and fleeting order direction, the relation between option Open Interest and fleeting order direction, as well as their placement outside NBBO suggest spoofing and price manipulation rather than a simple search for latent liquidity. We show that fleeting orders impact subsequent NBBO and increase likelihood of stock prices crossing option strike prices on option expiration days.

Suggested Citation

  • Antonio Figueiredo & Pankaj Jain & Suchismita Mishra, 2023. "The role of fleeting orders on option expiration days," Quantitative Finance, Taylor & Francis Journals, vol. 23(10), pages 1511-1529, October.
    • Handle: RePEc:taf:quantf:v:23:y:2023:i:10:p:1511-1529
    DOI: 10.1080/14697688.2023.2229375
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    References listed on IDEAS

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