Equity Options During the Shorting Ban of 2008

Nusret Cakici, Gautam Goswami and Sinan Tan
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Nusret Cakici: Gabelli School of Business, Fordham University, New York, NY 10458, USA
Gautam Goswami: Gabelli School of Business, Fordham University, New York, NY 10458, USA
Sinan Tan: Gabelli School of Business, Fordham University, New York, NY 10458, USA

JRFM, 2018, vol. 11, issue 2, 1-31

Abstract: The Securities and Exchange Commission’s 2008 emergency order introduced a shorting ban of some 800 financials traded in the US. This paper provides an empirical analysis of the options market around the ban period. Using transaction level data from OPRA (The Options Price Reporting Authority), we study the options volume, spreads, pricing measures and option trade volume informativeness during the ban. We also consider the put–call parity relationship. While mostly statistically significant, economic magnitudes of our results suggest that the impact of the ban on the equity options market was likely not as dramatic as initially thought.

Keywords: SEC; shorting ban; OPRA; intraday stock options (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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