Identifying Demand Curves in Index Option Markets

Published Online:https://doi.org/10.1287/mnsc.2023.04263

References

  • Adrian T, Etula E, Muir T (2014) Financial intermediaries and the cross-section of asset returns. J. Finance 69:2557–2596.CrossrefGoogle Scholar
  • Almeida C, Freire G (2022) Demand in the option market and the pricing kernel. Working paper, Princeton University, Princeton, NJ.Google Scholar
  • Bakshi G, Kapadia N, Madan D (2003) Stock return characteristics, skew laws, and the differential pricing of individual equity options. Rev. Financial Stud. 16:101–143.CrossrefGoogle Scholar
  • Barbon A, Gianinazzi V (2019) Quantitative easing and equity prices: Evidence from the ETF program of the Bank of Japan. Rev. Asset Pricing Stud. 9:210–255.CrossrefGoogle Scholar
  • Bates DS (2006) Maximum likelihood estimation of latent affine processes. Rev. Financial Stud. 19:909–965.CrossrefGoogle Scholar
  • Baumeister C, Hamilton JD (2015) Sign restrictions, structural vector autoregressions, and useful prior information. Econometrica 83:1963–1999.CrossrefGoogle Scholar
  • Bekaert G, Hoerova M (2014) The VIX, the variance premium and stock market volatility. J. Econom. 183:181–192.CrossrefGoogle Scholar
  • Black F, Scholes M (1973) The pricing of options and corporate liabilities. J. Political Econom. 81:637–654.CrossrefGoogle Scholar
  • Bollen NPB, Whaley RE (2004) Does net buying pressure affect the shape of implied volatility functions? J. Finance 59:711–753.CrossrefGoogle Scholar
  • Bretscher L, Schmid L, Sen I, Sharma V (2025) Institutional corporate bond pricing. Rev. Financial Stud. hhaf067.Google Scholar
  • Brunnermeier MK, Pedersen LH (2009) Market liquidity and funding liquidity. Rev. Financial Stud. 22:2201–2238.CrossrefGoogle Scholar
  • Bryzgalova S, Pavlova A, Sikorskaya T (2023) Retail trading in options and the rise of the big three wholesalers. J. Finance 78:3465–3514.Google Scholar
  • Canova F, De Nicolo G (2002) Monetary disturbances matter for business fluctuations in the G-7. J. Monetary Econom. 49:1131–1159.CrossrefGoogle Scholar
  • Chang Y-C, Hong H, Liskovich I (2015) Regression discontinuity and the price effects of stock market indexing. Rev. Financial Stud. 28:212–246.CrossrefGoogle Scholar
  • Chen H, Joslin S, Ni SX (2019) Demand for crash insurance, intermediary constraints, and risk premia in financial markets. Rev. Financial Stud. 32:228–265.CrossrefGoogle Scholar
  • Chordia T, Subrahmanyam A (2004) Order imbalance and individual stock returns: Theory and evidence. J. Financial Econom. 72:485–518.CrossrefGoogle Scholar
  • Christoffersen P, Goyenko R, Jacobs K, Karoui M (2018) Illiquidity premia in the equity options market. Rev. Financial Stud. 31:811–851.CrossrefGoogle Scholar
  • Constantinides GM, Lian L (2021) The supply and demand of S&P 500 put options. Critical Finance Rev. 10:1–20.CrossrefGoogle Scholar
  • Farago A, Khapko M, Ornthanalai C (2023) Asymmetries and the market for put options. Working paper, University of Toronto, Toronto.Google Scholar
  • Faust J (1998) The robustness of identified VAR conclusions about money. Carnegie-Rochester Conf. Ser. Public Policy 49:207–244.CrossrefGoogle Scholar
  • Fournier M, Jacobs K (2020) A tractable framework for option pricing with dynamic market-maker inventory and wealth. J. Financial Quant. Anal. 55:1117–1162.CrossrefGoogle Scholar
  • Gabaix X, Koijen RSJ (2021) In search of the origins of financial fluctuations: The inelastic markets hypothesis. NBER Working Paper No. 28967, National Bureau of Economic Research, Cambridge, MA.Google Scholar
  • Gârleanu N, Pedersen LH, Poteshman AM (2009) Demand-based option pricing. Rev. Financial Stud. 22:4259–4299.CrossrefGoogle Scholar
  • Goldberg J, Nozawa Y (2021) Liquidity supply in the corporate bond market. J. Finance 76:755–796.CrossrefGoogle Scholar
  • Hasbrouck J (1991) Measuring the information content of stock trades. J. Finance 46:179–207.CrossrefGoogle Scholar
  • He Z, Krishnamurthy A (2018) Intermediary asset pricing and the financial crisis. Annual Rev. Financial Econom. 10:173–197.CrossrefGoogle Scholar
  • He Z, Kelly B, Manela A (2017) Intermediary asset pricing: New evidence from many asset classes. J. Financial Econom. 126:1–35.CrossrefGoogle Scholar
  • Hendershott T, Menkveld AJ (2014) Price pressures. J. Financial Econom. 114:405–423.CrossrefGoogle Scholar
  • Heston SL (1993) A closed-form solution for options with stochastic volatility with applications to bond and currency options. Rev. Financial Stud. 6:327–343.CrossrefGoogle Scholar
  • Hu J (2014) Does option trading convey stock price information? J. Financial Econom. 111:625–645.CrossrefGoogle Scholar
  • Kilian L (2009) Not all oil price shocks are alike: Disentangling demand and supply shocks in the crude oil market. Amer. Econom. Rev. 99:1053–1069.CrossrefGoogle Scholar
  • Kilian L, Lütkepohl H (2017) Structural Vector Autoregressive Analysis (Cambridge University Press, Cambridge, UK).CrossrefGoogle Scholar
  • Kilian L, Murphy DP (2012) Why agnostic sign restrictions are not enough: Understanding the dynamics of oil market VAR models. J. Eur. Econom. Assoc. 10:1166–1188.CrossrefGoogle Scholar
  • Kilian L, Murphy DP (2014) The role of inventories and speculative trading in the global market for crude oil. J. Appl. Econometrics 29:454–478.CrossrefGoogle Scholar
  • Koijen RSJ, Yogo M (2019) A demand system approach to asset pricing. J. Political Econom. 127:1475–1515.CrossrefGoogle Scholar
  • Koijen RSJ, Richmond RJ, Yogo M (2024) Which investors matter for equity valuations and expected returns? Rev. Econom. Stud. 91:2387–2424.Google Scholar
  • Muravyev D (2016) Order flow and expected option returns. J. Finance 71:673–708.CrossrefGoogle Scholar
  • Muravyev D, Ni XC (2020) Why do option returns change sign from day to night? J. Financial Econom. 136:219–238.CrossrefGoogle Scholar
  • Pan J, Poteshman AM (2006) The information in option volume for future stock prices. Rev. Financial Stud. 19:871–908.CrossrefGoogle Scholar
  • Panayides MA (2007) Affirmative obligations and market making with inventory. J. Financial Econom. 86:513–542.CrossrefGoogle Scholar
  • Peng C, Wang C (2021) Factor demand and factor returns. Working paper, University of Notre Dame, Notre Dame, IN.Google Scholar
  • Rigobon R (2003) Identification through heteroskedasticity. Rev. Econom. Statist. 85:777–792.CrossrefGoogle Scholar
  • Scholes MS (1972) The market for securities: Substitution versus price pressure and the effects of information on share prices. J. Bus. 45:179–211.CrossrefGoogle Scholar
  • Uhlig H (2005) What are the effects of monetary policy on output? Results from an agnostic identification procedure. J. Monetary Econom. 52:381–419.CrossrefGoogle Scholar
  • Wooldridge JM (2016) Introductory Econometrics: A Modern Approach (South-Western Cengage Learning, Boston).Google Scholar
  • Wurgler J, Zhuravskaya E (2002) Does arbitrage flatten demand curves for stocks? J. Bus. 75:583–608.CrossrefGoogle Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.