Professional investors behind ‘witching day’ options spike
Retail investors are the losers from anomaly that costs more than $3.8 billion
Researchers have added fuel to controversial claims made last year that equity index options may be subject to market manipulation.
The fresh analysis, which builds on work done by the same team in 2023, shows that professional investors benefit from a pricing anomaly in S&P 500 index options that costs retail investors more than $3.8 billion a year.
A study last September flagged an upwards jump in option prices on so-called witching days – the third Friday of the month, when many options
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Investing
Trillion-dollar basis trade will keep growing – asset managers
Treasury issuance, credit trades and repo stigma drive rise in futures use
TwentyFour’s ABS chief on skirting ‘overbaked’ deals as issuance booms
Some new issuers are pricing tighter than is sensible, says Aza Teeuwen
Are regulators wrong to think of AT1s as debt?
Bank capital bonds face criticism. One answer might be to treat them as ‘fixed-income equity’
BIS warns of growing offshore reinsurance risk
Deals by private equity-backed life firms could mask risk in $25 trillion industry, report says
Regulators want to fix AT1s. Investors want restraint
Tweaking the instrument that regulators love to hate may be the only way to prevent its abolition
Bonds will cushion equities in election volatility – Lombard Odier
August showed old risk models can be trusted ahead of voting day, says investment manager’s macro chief
Cayman reinsurance shift ‘negative’ for US life firms
Moody’s warns of US insurers switching preference after Bermuda tightens capital rules
ETF dispersion set for election revival
Sector-based approach to popular vol trades boasts cheaper entry cost than classic version, proponents argue