Stock price clustering on option expiration dates

The stock picking alternative Never bought options? Learn how. Already an options pro? Use our comprehensive options screener and join discussion groups with other options traders. In particular, we show that on expiration dates the closing prices of stocks with listed options cluster at option strike prices. On each expiration date, the returns of optionable stocks are altered by an average of at least 16.5 basis points, which translates into aggregate market capitalization shifts on the order of $9 billion.

A “call” is an option to buy a specific stock at a specific price on or before a specific out-of-the-money on the expiration date simply expire worthless and are not exercised. In addition to supervised techniques, K-Means clustering was run. In the presence of such short-sale constraints, option and stock prices and Allen Poteshman, 2004, Stock Price Clustering on Option Expiration Dates,. 17 Apr 2019 Volatility and Expected Option Returns - Guanglian Hu, Kris Jacobs. “Stock Price Clustering on Option Expiration Dates.” Journal of Financial  If the stock price does not move sufficiently in the right direction before the The expiration dates of long-term options are based on specific sequences. then more options with strike prices clustering around the new price will be written, and  18 Jun 2013 Enter a stock or ETF symbol and then click on the Options tab to see the price of the ETF, we see “View By Expiration” with a series of dates  3. Stock price clustering on option expiration dates. This section of the paper investigates stock price clustering on option expiration dates. In the first subsection, we show that optionable stocks are more likely to close at or near strike prices on expiration dates. The second subsection provides two pieces of evidence that the clustering In particular, we show that on expiration dates the closing prices of stocks with listed options cluster at option strike prices. On each expiration date, the returns of optionable stocks are altered by an average of at least 16.5 basis points, which translates into aggregate market capitalization shifts on the order of $9 billion. We provide

and Tauchen (1992) found a positive correlation between volume and price changes. able stocks, without expiring option contract on the given expiration date, correlation among individual stocks within each day, I cluster the standard.

On each expiration date, the returns of optionable stocks are altered by an average of at least 16.5 basis points, which translates into aggregate market capitalization shifts on the order of $9 billion. We provide evidence that hedge re-balancing by option market-makers and stock price manipulation by firm In the example, the greatest number of ANZ options would expire worthless just below $28.00, but the excess of Calls at that level is so small that the price range $27.50 - $28.50 is much of a muchness. "Expiration day effects of index futures and options: evidence from a market with a long settlement period," Applied Financial Economics, Taylor & Francis Journals, vol. 14(6), pages 385-396. Harris, Lawrence, 1991. "Stock Price Clustering and Discreteness," Review of Financial Studies, Society for Financial Studies, vol. 4(3), pages 389-415. The option cost was $3 per share. One option contract equals 100 shares of stock. This call option contract gives the buyer the right to buy 100 shares of SNE at a price of $50 any time before the April expiration date, regardless of what the market price is of SNE. Suppose the underlying stock rose to $60 on March 1 and you decided to exercise your option, which was “in the money” because the strike price was less than the price of the underlying security. Your profit, before taxes and transaction costs, would be $700 ($60 stock price minus the $50 option strike price, less the $3 premium, times 100). Oil States International stock price target cut to $2.50 from $11.00 at Susquehanna. 9:51p. Valaris stock price target cut to 90 cents from $3.00 at Susquehanna. Loading more headlines If the option is sold before expiration date, then implied volatility and the number of days remaining before expiration may increase the price of the option. Let's assume that the price is higher by 10 cents. The profit made will be $10.10 - $2 = $8.10. The decision to sell the option assumes that it is in the money.

Oil States International stock price target cut to $2.50 from $11.00 at Susquehanna. 9:51p. Valaris stock price target cut to 90 cents from $3.00 at Susquehanna. Loading more headlines

1 Oct 2005 In particular, we show that on expiration dates the closing prices of stocks with listed options cluster at option strike prices. On each expiration 

“Stock Price Clustering on Option Expiration Dates” from August 2004: “This paper presents striking evidence that option trading changes the prices of underlying stocks. In particular, we show that on expiration dates the closing prices of stocks with listed options cluster at option strike prices. On each expiration date, the returns of

A “call” is an option to buy a specific stock at a specific price on or before a specific out-of-the-money on the expiration date simply expire worthless and are not exercised. In addition to supervised techniques, K-Means clustering was run. In the presence of such short-sale constraints, option and stock prices and Allen Poteshman, 2004, Stock Price Clustering on Option Expiration Dates,. 17 Apr 2019 Volatility and Expected Option Returns - Guanglian Hu, Kris Jacobs. “Stock Price Clustering on Option Expiration Dates.” Journal of Financial  If the stock price does not move sufficiently in the right direction before the The expiration dates of long-term options are based on specific sequences. then more options with strike prices clustering around the new price will be written, and  18 Jun 2013 Enter a stock or ETF symbol and then click on the Options tab to see the price of the ETF, we see “View By Expiration” with a series of dates 

) -- Even if you have never traded a put or call, it is important to understand how options expiration can affect stock prices. Trading activity in options can have a direct and measurable effect

“Stock Price Clustering on Option Expiration Dates”: “This paper presents striking evidence that option trading changes the prices of underlying stocks. In particular, we show that on expiration dates the closing prices of stocks with listed options cluster at option strike prices. On each expiration date, the returns of optionable stocks In particular, we show that on expiration dates the closing prices of stocks with listed options cluster at option strike prices. On each expiration date, the returns of optionable stocks are “Stock Price Clustering on Option Expiration Dates” from August 2004: “This paper presents striking evidence that option trading changes the prices of underlying stocks. In particular, we show that on expiration dates the closing prices of stocks with listed options cluster at option strike prices. On each expiration date, the returns of Read "Stock price clustering on option expiration dates, Journal of Financial Economics" on DeepDyve, the largest online rental service for scholarly research with thousands of academic publications available at your fingertips. ) -- Even if you have never traded a put or call, it is important to understand how options expiration can affect stock prices. Trading activity in options can have a direct and measurable effect The study, "Stock Price Clustering on Option Expiration Dates," appeared last October in The Journal of Financial Economics. Its authors are Neil D. Pearson and Allen M. Poteshman, both finance

Stock Price Clustering on Option Expiration Dates¹ Sophie Xiaoyan Ni a, Neil D. Pearsona,*, Allen M. Poteshman aUniversity of Illinois at Urbana-Cha mpaign, Cha paign, IL 61820, USA August 27, 2004 Abstract This paper presents striking evidence that option trading changes the prices of underlying stocks. “Stock Price Clustering on Option Expiration Dates”: “This paper presents striking evidence that option trading changes the prices of underlying stocks. In particular, we show that on expiration dates the closing prices of stocks with listed options cluster at option strike prices. On each expiration date, the returns of optionable stocks In particular, we show that on expiration dates the closing prices of stocks with listed options cluster at option strike prices. On each expiration date, the returns of optionable stocks are “Stock Price Clustering on Option Expiration Dates” from August 2004: “This paper presents striking evidence that option trading changes the prices of underlying stocks. In particular, we show that on expiration dates the closing prices of stocks with listed options cluster at option strike prices. On each expiration date, the returns of Read "Stock price clustering on option expiration dates, Journal of Financial Economics" on DeepDyve, the largest online rental service for scholarly research with thousands of academic publications available at your fingertips. ) -- Even if you have never traded a put or call, it is important to understand how options expiration can affect stock prices. Trading activity in options can have a direct and measurable effect The study, "Stock Price Clustering on Option Expiration Dates," appeared last October in The Journal of Financial Economics. Its authors are Neil D. Pearson and Allen M. Poteshman, both finance