Options market microstructure research relies primarily on transactions and quote data available from the CBOE. In most implementations, the data do not include information on whether a given trade is buyer-or seller-initiated. As a result, some researchers have used trade classification rules...

To sign option trades as buys and sells, researchers often employ stock trade classification rules including the quote, the Lee and Ready (1991), the Ellis, Michaely, and O'Hara (2000), and the tick methods. Using a proprietary CBOE dataset that reports trade direction, we find that these four...

Financial derivatives, including options, are usually presented as a “new” development in finance. Certainly, such things as Credit Default Swaps appear new. On the other hand, some aspects of financial derivatives are very old, perhaps much older than is generally recognized. In this paper,...

Why do we see so much options trading in the period around dividend ex-dates? We examine option open interest and volume around ex-dates for fifty of the most actively optioned stocks whose options traded on CBOE for each of the three years 1986-1988 to find a partial answer to the question. We...