IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this article

Technical trading with open interest: evidence from the German market

Listed author(s):
  • Thorben Manfred Lubnau
  • Neda Todorova
Registered author(s):

    This article investigates whether options' open interest can be incorporated successfully into technical trading strategies. A set of 2040 trading rules is applied to the German index DAX 30 and to the 10 German stocks with the highest market capitalization. The results show that open interest rules, when combined with information from the spot market, can improve the predictive power of technical trading rules. Both put and call open interest appear to contain information regarding future equity prices while the open interest differential performs very poorly. Best results are achieved for the DAX index, showing economically significant profits even when transaction costs are taken into account whereas the results are more mixed for individual options. Across all assets, out-of-the-money (OTM) calls and in-the-money (ITM) puts exhibit the strongest forecasting power for the utilized rules.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL:
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

    Volume (Year): 22 (2012)
    Issue (Month): 10 (May)
    Pages: 791-809

    in new window

    Handle: RePEc:taf:apfiec:v:22:y:2012:i:10:p:791-809
    DOI: 10.1080/09603107.2011.627210
    Contact details of provider: Web page:

    Order Information: Web:

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:22:y:2012:i:10:p:791-809. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Chris Longhurst)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.