Anand, Amber; Chakravarty, Sugato - In: Journal of Financial and Quantitative Analysis 42 (2007) 01, pp. 167-187
We investigate how price discovery occurs in the options markets through traders' trade size choice. By employing transactions data on all options traded on a sample of 100 firms, we show that informed traders fragment their orders into small (medium) trades for low (high) volume contracts. We...