Large Option Trades, Market Makers, and Limit Orders
研究做市商和限价订单在期权大额交易中提供流动性的差异，分析价格行为并估算交易发起者支付的溢价，发现限价订单在股价不利变动后易被“摘牌”，而做市商提供的流动性使报价恢复至交易前水平。
This article focuses on the difference between market makers and limit orders in their role as suppliers of liquidity. For both sources of liquidity I analyze the price behavior of stocks and options around large option trades and I estimate the premium paid by the initiator of the large trade. My findings suggest that limit orders for options are "picked off" after adverse changes in the underlying stock price. Furthermore, I find that for these transactions there is a permanent change in quotations in the direction of the transaction. After transactions where market makers supply liquidity, quotes tend to return to their pretrade level.