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.
| Original language | English |
|---|---|
| Pages (from-to) | 1511-1529 |
| Number of pages | 19 |
| Journal | Quantitative Finance |
| Volume | 23 |
| Issue number | 10 |
| DOIs | |
| State | Published - 2023 |
Bibliographical note
Publisher Copyright:© 2023 Informa UK Limited, trading as Taylor & Francis Group.
ASJC Scopus Subject Areas
- Finance
- General Economics,Econometrics and Finance
Keywords
- Market manipulation
- Market microstructure
- Option expiration
- Order dynamics
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