The Trading Volume of Currency Options and the Spot Exchange Rate

Yaffa Machnes

Emerging Markets Finance and Trade, 2006, vol. 42, issue 3, 91-97

Abstract: This paper estimates the interrelation between the spot exchange rate of the Israeli currency, the new Israeli shekel, to the U.S. dollar, and the trading volumes of put and call options on the U.S. dollar in the Tel Aviv Stock Exchange. An increase in the trading volume of calls is positively correlated with an increase in the spot exchange rate of the dollar on the same day and the following day, but with a lower coefficient. Similarly, an increase in the trading volume of puts is related to a decrease in the spot price of the dollar on the same day of trade, with a smaller effect on the following day.

Keywords: currency options; exchange rate; trade volume (search for similar items in EconPapers)
Date: 2006
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://mesharpe.metapress.com/link.asp?target=contribution&id=2X7788T171670007 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:mes:emfitr:v:42:y:2006:i:3:p:91-97

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/MREE20

Access Statistics for this article

More articles in Emerging Markets Finance and Trade from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().