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Migration of price discovery in semiregulated derivatives markets

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  • Anthony D. Hall
  • Paul Kofman
  • Steven Manaster

Abstract

This study investigates the information content of futures option prices when the underlying futures price is regulated and the futures option price is not. The New York Board of Trade (NYBOT) provides the empirical setting for this regulatory mismatch. Many commodity derivatives markets regulate the prices of all derivatives on a single underlying commodity simultaneously. Some exchanges, including the NYBOT, regulate only their futures contracts, leaving the options on these futures contracts unregulated. This study takes a particular interest in the option‐implied futures price when the observed futures price is locked limit. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:209–241, 2006

Suggested Citation

  • Anthony D. Hall & Paul Kofman & Steven Manaster, 2006. "Migration of price discovery in semiregulated derivatives markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 26(3), pages 209-241, March.
    • Handle: RePEc:wly:jfutmk:v:26:y:2006:i:3:p:209-241
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    Cited by:

    1. Rajkumar Janardanan & Xiao Qiao & K. Geert Rouwenhorst, 2019. "On commodity price limits," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(8), pages 946-961, August.
    2. John M. Fry & Baoying Lai & Mark Rhodes, 2011. "The interdependence of Coffee spot and futures market," Working Papers 2011.1, International Network for Economic Research - INFER.

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