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Equity Options During the Shorting Ban of 2008

Author

Listed:
  • Nusret Cakici

    (Gabelli School of Business, Fordham University, New York, NY 10458, USA
    Current address: Fordham University GBA, 113 West 60th St, New York, NY 10023, USA.)

  • Gautam Goswami

    (Gabelli School of Business, Fordham University, New York, NY 10458, USA
    Current address: Fordham University GBA, 113 West 60th St, New York, NY 10023, USA.)

  • Sinan Tan

    (Gabelli School of Business, Fordham University, New York, NY 10458, USA)

Abstract

The Securities and Exchange Commission’s 2008 emergency order introduced a shorting ban of some 800 financials traded in the US. This paper provides an empirical analysis of the options market around the ban period. Using transaction level data from OPRA (The Options Price Reporting Authority), we study the options volume, spreads, pricing measures and option trade volume informativeness during the ban. We also consider the put–call parity relationship. While mostly statistically significant, economic magnitudes of our results suggest that the impact of the ban on the equity options market was likely not as dramatic as initially thought.

Suggested Citation

  • Nusret Cakici & Gautam Goswami & Sinan Tan, 2018. "Equity Options During the Shorting Ban of 2008," JRFM, MDPI, vol. 11(2), pages 1-31, March.
    • Handle: RePEc:gam:jjrfmx:v:11:y:2018:i:2:p:17-:d:139005
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    References listed on IDEAS

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    Cited by:

    1. Alok Dixit & Vipul & Shivam Singh, 2019. "Options pricing and short‐selling in the underlying: Evidence from India," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(10), pages 1250-1268, October.

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