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Informed options trading around holidays

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  • Doojin Ryu
  • Jinyoung Yu

Abstract

We use a high‐quality microstructure data set of KOSPI 200 index options to examine the patterns of informed options trading around holidays, depending on options market characteristics. The information content of options trading increases around holidays, and this holiday effect is pronounced for out‐of‐the‐money calls and at‐the‐money puts. Informed large trades reinforce the holiday effects for out‐of‐the‐money call options. Foreign investors are generally informed, and their out‐of‐the‐money options trades are even more informed after holidays. Although domestic investors are less informed than their foreign competitors, their options trades seem to convey information both before and after holidays.

Suggested Citation

  • Doojin Ryu & Jinyoung Yu, 2021. "Informed options trading around holidays," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(5), pages 658-685, May.
    • Handle: RePEc:wly:jfutmk:v:41:y:2021:i:5:p:658-685
    DOI: 10.1002/fut.22186
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    3. Zin Yau Heng & Henry Leung, 2023. "The role of option‐based information on StockTwits, options trading volume, and stock returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(8), pages 1091-1125, August.
    4. Doojin Ryu & Robert I. Webb & Jinyoung Yu, 2023. "Who pays the liquidity cost? Central bank announcements and adverse selection," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(7), pages 904-924, July.
    5. Xingguo Luo & Doojin Ryu & Libin Tao & Chuxin Ye, 2024. "Price monotonicity violations during stock market crashes: Evidence from the SSE 50 ETF options market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(3), pages 533-554, March.
    6. Joonhyuk Song & Doojin Ryu & Jinyoung Yu, 2023. "Changes in the options contract size and arbitrage opportunities," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(1), pages 122-137, January.
    7. Ryu, Doojin & Webb, Robert I. & Yu, Jinyoung, 2022. "Foreign institutions and the behavior of liquidity following macroeconomic announcements," Finance Research Letters, Elsevier, vol. 50(C).
    8. Jongho Kang & Jangkoo Kang & Jaeram Lee, 2022. "Who and what drives informed options trading after the market opens?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(3), pages 338-364, March.
    9. Ryu, Doojin & Yang, Heejin & Yu, Jinyoung, 2022. "Insider trading and information asymmetry: Evidence from the Korea Exchange," Emerging Markets Review, Elsevier, vol. 51(PA).
    10. Lee, Jaeram & Ryu, Doojin & Yang, Heejin, 2021. "Does vega-neutral options trading contain information?," Journal of Empirical Finance, Elsevier, vol. 62(C), pages 294-314.
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    12. Daehyeon PARK & Doojin RYU, 2021. "Forecasting Stock Market Dynamics using Bidirectional Long Short-Term Memory," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 22-34, June.

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    15. Doojin Ryu & Jinyoung Yu, 2022. "Sentiment‐dependent impact of funding liquidity shocks on futures market liquidity," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(1), pages 61-76, January.
    16. Mengyu Zhang & Thanos Verousis & Iordanis Kalaitzoglou, 2022. "Information and the arrival rate of option trading volume," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(4), pages 605-644, April.
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