Marchés dérivés et « trading » de volatilité

Gunther Capelle-Blancard

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Abstract: This article investigates the implications of volatility trading on the behavior of informed traders. The main finding is that volatility traders evict directional traders from the option markets. Indeed, we provide conditions under which informed-volatility trades have a positive impact on option market bid-ask spread so that informed-directional traders choose the equity market. While these results do not confirm that option returns lead stock returns, they are consistent with previous empirical findings.

Keywords: Microstructure; Option; Produit dérivé (search for similar items in EconPapers)
Date: 2003
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Published in Revue Economique, 2003, 54 (3), pp.663-674

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Journal Article: Marchés dérivés et trading de volatilité (2003)
Working Paper: Marchés dérivés et « trading » de volatilité (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00265674

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