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One session options: Playing the announcement lottery?

Author

Listed:
  • Lee A. Smales
  • Zhangxin (Frank) Liu
  • Cameron D. Robertson

Abstract

One session options (OSOs) fulfill the criteria for a lottery‐type asset; a low price coupled with a relatively small probability of a large payoff. We examine trading behavior for intraday OSO contracts on the Australian 3‐Year Treasury bond future. We find that volume is higher on days with a major macroeconomic announcement, and concentrated in the time before data release. Volume tends to be higher when there is a greater difference of opinion concerning the announcement outcome or when the level of economic policy uncertainty is higher. We propose that ‘differences of opinions’ best explain OSO trading behavior.

Suggested Citation

  • Lee A. Smales & Zhangxin (Frank) Liu & Cameron D. Robertson, 2022. "One session options: Playing the announcement lottery?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(2), pages 192-211, February.
    • Handle: RePEc:wly:jfutmk:v:42:y:2022:i:2:p:192-211
    DOI: 10.1002/fut.22257
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