The role of fleeting orders on option expiration days

Antonio Figueiredo, Pankaj Jain and Suchismita Mishra

Quantitative Finance, 2023, vol. 23, issue 10, 1511-1529

Abstract: We employ NASDAQ order level data to analyze intraday trading at option expirations and cross-market price pressure spillover. We observe more fleeting orders in optionable stocks on option expiration versus non-expiration days. The relation between NBBO proximity to strike prices and fleeting order direction, the relation between option Open Interest and fleeting order direction, as well as their placement outside NBBO suggest spoofing and price manipulation rather than a simple search for latent liquidity. We show that fleeting orders impact subsequent NBBO and increase likelihood of stock prices crossing option strike prices on option expiration days.

Date: 2023
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DOI: 10.1080/14697688.2023.2229375

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