Illiquid Bitcoin Options
This paper conducts a first look into the regulated Bitcoin options market in the United States. Compared to stock options, bitcoin options tend to be ten times more illiquid as measured by bid-ask spreads. The illiquidity significantly affects bitcoin options pricing: Given that investors are on average net sellers of bitcoin options, heightened illiquidity is associated with a significant premium in subsequent deltahedged returns, which also strengthens under more imbalanced investor orders. To support the reasoning behind our findings, we further exploit a policy change that allows retail participation and significantly influences order imbalances in the Bitcoin options market
Year of publication: |
[2023]
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Authors: | Guo, Yang ; Li, Jiasun ; Luo, Mei ; Wang, Yintian |
Publisher: |
[S.l.] : SSRN |
Subject: | Optionspreistheorie | Option pricing theory | Elektronisches Geld | Electronic money | Liquidität | Liquidity | Virtuelle Währung | Virtual currency | Optionsgeschäft | Option trading | Marktliquidität | Market liquidity | Aktienoption | Stock option | Bargeldloser Zahlungsverkehr | Noncash payments |
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freely available