Put–call parity in a crypto option market — Evidence from Binance

Nóra Felföldi-Szűcs, Balázs Králik and Kata Váradi

Finance Research Letters, 2024, vol. 61, issue C

Abstract: This paper investigates a special and already well-documented topic within market efficiency, the put–call parity relationship. The analysis is carried out to the cryptocurrency options market, where market microstructure effects are treated. A new concept of the forward and backward PCP breaking for European options is introduced. This is examined in detail for Ethereum options listed on Binance using a one-second resolution data set. The results show that significant put–call parity violations remain even after controlling for bid–ask spread, trading costs and funding costs.

Keywords: Cryptocurrency; Put–call parity; Market efficiency; Market maker; Binance (search for similar items in EconPapers)
JEL-codes: G12 G14 G23 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:61:y:2024:i:c:s1544612323012461

DOI: 10.1016/j.frl.2023.104874

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