Intraday information from S&P 500 Index futures options

Kian Guan Lim, Ying Chen and Nelson K.L. Yap

Journal of Financial Markets, 2019, vol. 42, issue C, 29-55

Abstract: In this paper, we employ the intraday transaction prices of liquid E-mini S&P 500 index futures options to form 10-min ahead risk-neutral skewness forecasts and show profitable options trading strategy net of transaction costs. We do not find profitable trading based on 10-min ahead risk-neutral volatility and only very marginal cases of profitable trading using kurtosis forecasts. The skewness profitability anomaly may be an indication of informational inefficiency in intraday S&P 500 futures options trading, which is contrary to findings using longer-span daily and weekly moments. Our results lend credence to the persistence of intraday trading activities in the markets.

Keywords: Intraday options trading; Market efficiency (search for similar items in EconPapers)
JEL-codes: G13 G17 G23 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finmar:v:42:y:2019:i:c:p:29-55

DOI: 10.1016/j.finmar.2018.10.001

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