Lee, Jaeram; Ryu, Doojin; Yang, Heejin; Yu, Jinyoung - 2023
This study suggests a novel approach for decomposing an options order imbalance based on trading motives using put …-call parity. The options order imbalance is separated into two components: one that contains arbitrage trading and one that does … trade to exploit arbitrage opportunities between options and futures (stock index) markets, However, these patterns …