Stealth Trading in Options Markets
利用100家公司的期权交易数据，研究知情交易者如何通过选择交易规模来隐蔽交易，发现近60%的价格发现发生在市场份额最大的交易所，且平价看涨期权信息份额最高。
Abstract We investigate how price discovery occurs in the options markets through traders' trade size choice. By employing transactions data on all options traded on a sample of 100 firms, we show that informed traders fragment their orders into small (medium) trades for low (high) volume contracts. We also find that almost 60% of the price discovery occurs in the exchange with the largest market share for a given option, where informed traders favor medium size trades. Upon examining distinct option series for a given stock, we find that at-the-money calls display the highest information share.