Threshold levels, strike price grid, and other market microstructure issues associated with exchange‐traded equity options
Edwin Maberly (),
Raylene Pierce and
Journal of Futures Markets, 2010, vol. 30, issue 2, 188-201
This study addresses a number of important market microstructure issues associated with exchange‐traded equity options having significant research implications for studies investigating clustering on option strike prices. Price threshold levels associated with exchange listing and the automatic exercise of equity options as established by the Securities and Exchange Commission and Options Clearing Corporation (OCC) to carry out their regulatory and oversight responsibilities are examined. Significant changes are documented including motivation for such changes. Market microstructure issues potentially impact equity options research outcomes and one important issue is documenting changes over time to the strike price grid. A chronological outline of the introduction of option strike codes from April 26, 1973, through December 2008 is presented. Pricing discrepancies are documented between Standard & Poor's end‐of‐day updates (closing prices) and similar prices reported by Center for Research in Security Prices, Thompson, and Bloomberg, which is the source of ambiguities associated with the OCC's official settlement price. A number of quirks associated with option databases are identified to be of potential interest to researchers. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:188–201, 2010
References: Add references at CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:wly:jfutmk:v:30:y:2010:i:2:p:188-201
Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0270-7314
Access Statistics for this article
Journal of Futures Markets is currently edited by Robert I. Webb
More articles in Journal of Futures Markets from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().