The Rise and Impacts of Zero Days-to-Expiration Options

Name: The Rise and Impacts of Zero Days-to-Expiration Options
Brand: Eliva Press
Availability: OutOfStock
Rating: 5 (1 reviews)

By Fagerlid, Christian Madtzog

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Description

The trading volume of zero days-to-expiration (0DTE) options has seen a significant increase in recent years. However, these financial derivatives are underexplored. This paper aims to fill the gap by investigating the relationship between 0DTE options and the S&P 500. In doing so, we use a combination of theory and historical data. Our Python code to process and analyze data is available in the Appendix.
The results show that the increased trading in 0DTE options is associated with volatility and sudden price movements. We also find that puts correlate with a decline in the SPX, whereas calls correlate with an increase in the underlying. The paper argues that market makers' hedging activities are one of the explanations. We also acknowledge the limitations and weaknesses of our analysis and discuss these throughout the text.

Product details

Binding:: Paperback
Number of Pages:: 56
Release Date:: 2024-06-24
Publication Date:: 2024-05-27
Publisher:: Eliva Press
Languages:: Original: English
ISBN10:: 9999319270
ISBN13:: 9789999319270
GPSR Manufacturer Reference:: [email protected]
Weight:: 97 g
Height:: 152 cm
Width:: 229 cm
Thickness:: 3 cm

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