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On the liquidity of CAC 40 index options Market

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  • François-Heude, Alain
  • Yousfi, Ouidad
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    Abstract

    Daily data available between May 2005 and August 2012 show the presence of a considerable number of outstanding PXA contracts that have not expired and been offset by taking or making delivery. The current paper concludes that CAC 40 index options displays some illiquidity problems, particularly long term maturity options that are deep out or in the money. To enhance liquidity, we test the generalized reset GR option of François-Heude and Yousfi (2013) in the PXA options' market. Our preliminary results show a significant and positive effect on the liquidity of PXA options in several ways.

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    File URL: http://mpra.ub.uni-muenchen.de/47921/
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    Bibliographic Info

    Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 47921.

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    Date of creation: 30 Jun 2013
    Date of revision: 01 Jul 2013
    Handle: RePEc:pra:mprapa:47921

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    Keywords: strike reset; option; PXA; liquidity; reset option.;

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