The Behavior of Option Price Around Large Block Transactions in the Underlying Security
研究股票大额交易前后股票和期权价格的变化，发现期权在交易前30分钟至后1小时出现异常价格行为，尤其在看跌期权和下跌交易中更明显，可能与跨市场抢先交易有关。
ABSTRACT This paper investigates the behavior of stock and option prices around block trades in stocks. The results indicate that for both up tick and downtick block trades the stock prices adjust within a fifteen minute period after the block trade. Moreover, for uptick blocks there is no evidence of any stock price reaction before the block trade. However, the adjustment of stock price for downtick blocks begins about fifteen minutes before the block trade. We also find that option price behavior differs considerably from stock price behavior. Specifically, our results suggest that options exhibit abnormal price behavior starting thirty minutes before the block and ending one hour after the block. The pattern is more pronounced for downtick blocks and for put options. We interpret this abnormal price behavior of options before the block trade as consistent with intermarket frontrunning.