High-frequency trading in the stock market and the costs of options market making
研究发现股票市场高频交易通过两个渠道导致期权买卖价差扩大：一是期权做市商面临被高频交易利用看跌-看涨平价套利狙击的风险，二是期权市场知情交易放大了这一影响。
We investigate how high-frequency trading (HFT) in equity markets affects options market liquidity. We find that increased aggressive HFT activity in the stock market leads to wider bid–ask spreads in the options market through two main channels. First, options market makers’ quotes are exposed to sniping risk from HFTs exploiting put–call parity violations. Second, informed trading in the options market further amplifies the impact of HFT in equity markets on the liquidity of options by simultaneously increasing the options bid–ask spread and intensifying aggressive HFT activity in the underlying market.