Intraday option price changes and net buying pressure

Doojin Ryu and Heejin Yang

Applied Economics Letters, 2022, vol. 29, issue 4, 292-297

Abstract: We re-examine the effect of net buying pressure on options-implied volatility changes by analysing ultra-high-frequency microstructure data. Intraday relationships between option price dynamics and investors’ net demand are explained by the direction-learning hypothesis.

Date: 2022
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DOI: 10.1080/13504851.2020.1864272

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