HCBE Faculty Articles
Title
The role of fleeting orders on option expiration days
Document Type
Article
Publication Date
7-25-2023
Publication Title
Quantitative Finance
ISSN or ISBN
1469-7688
Volume
23
Issue/Number
10
First Page
1511
Last Page
1529
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
10.1080/14697688.2023.2229375
ORCID ID
0000-0002-0362-3057.
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
