Liquidity and Price Informativeness of Options: Evidence From Extended Trading Hours
研究了期权市场在延长交易时段（ETH）的交易动态，发现ETH期间流动性低但知情交易概率高，且ETH的引入通过将隔夜新闻及时纳入期权价格，改善了次日常规交易时段的流动性。
ABSTRACT This paper explores the trading dynamics of the options market during extended trading hours (ETHs). During ETH, the options market is characterized by low liquidity and decreased trading activities, yet there is an increased likelihood of informed trading. The introduction of ETH improves overall market liquidity on the following trading day, as reflected by a reduction in the quoted and effective bid–ask spreads, for both index options and their underlying constituents. The improvement of liquidity is due to the timely incorporation of overnight news into option prices during ETH. Moreover, option prices during ETH are informative for the index level and realized volatility in the subsequent regular trading hours.