Vega-informed trading and options market reform

Doojin Ryu; Doowon Ryu; Heejin Yang

doi:10.1080/13504851.2019.1606399

Vega-informed trading and options market reform

Doojin Ryu
, Doowon Ryu
, Heejin Yang

Department of Economics

Research output: Contribution to journal › Article › peer-review

8 Scopus citations

Abstract

This study examines the effect of reform to the KOSPI200 options market on volatility trading. We find that the information quality of net volatility demand significantly changes after the reform. The overall options demand for volatility does not predict spot market volatility before the market reform, but it does so after the reform. The significant information content of volatility trading can be attributed to the vega-weighted net demand of institutional investors.

Original language	English
Pages (from-to)	19-24
Number of pages	6
Journal	Applied Economics Letters
Volume	27
Issue number	1
DOIs	https://doi.org/10.1080/13504851.2019.1606399
State	Published - 2 Jan 2020

Keywords

KOSPI200 options
Market microstructure
Market reform
Vega information
Volatility trading

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10.1080/13504851.2019.1606399

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title = "Vega-informed trading and options market reform",

abstract = "This study examines the effect of reform to the KOSPI200 options market on volatility trading. We find that the information quality of net volatility demand significantly changes after the reform. The overall options demand for volatility does not predict spot market volatility before the market reform, but it does so after the reform. The significant information content of volatility trading can be attributed to the vega-weighted net demand of institutional investors.",

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KW - KOSPI200 options

KW - Market microstructure

KW - Market reform

KW - Vega information

KW - Volatility trading

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Vega-informed trading and options market reform

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Keywords

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