The role of fleeting orders on option expiration days

Author(s)

Antonio Figueiredo, Nova Southeastern UniversityFollow
Pankaj Jain, University of Memphis
Suchismita Mishra, Florida International University

ORCID

Antonio Figueiredo0000-0002-0362-3057

Document Type

Article

Publication Title

Quantitative Finance

ISSN

1469-7688

Publication Date

7-25-2023

Abstract/Excerpt

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.

DOI

https://doi.org/10.1080/14697688.2023.2229375

Volume

23

Issue

10

First Page

1511

Last Page

1529

Comments

Supplemental data for this article can be accessed online at https://doi.org/10.1080/14697688.2023.2229375.

NSUWorks Citation

Figueiredo, Antonio; Jain, Pankaj; and Mishra, Suchismita, "The role of fleeting orders on option expiration days" (2023). HCBE Faculty Articles. 1188.
https://nsuworks.nova.edu/hcbe_facarticles/1188