Cakici, Nusret; Goswami, Gautam; Tan, Sinan - In: Journal of Banking & Finance 49 (2014) C, pp. 262-274
Using intraday trades and quotes data, we study the stock options market before, during, and after the market events of May 6, 2010. Focusing on the S&P 500 and S&P 100 stock options, we explore if the options market provided any discernible signals that forewarned the extreme volatility on that...