The role of fleeting orders on option expiration days
利用纳斯达克订单级数据，分析期权到期日的日内交易和跨市场价格压力溢出，发现短暂订单与欺骗和价格操纵相关，而非简单的流动性搜寻。
We employ NASDAQ order level data to analyze intraday trading at option expirations and cross-market price pressure spillover. We observe more fleeting orders in optionable stocks on option expiration versus non-expiration days. The relation between NBBO proximity to strike prices and fleeting order direction, the relation between option Open Interest and fleeting order direction, as well as their placement outside NBBO suggest spoofing and price manipulation rather than a simple search for latent liquidity. We show that fleeting orders impact subsequent NBBO and increase likelihood of stock prices crossing option strike prices on option expiration days.