This article sets out to investigate price clustering in both the open‐outcry (floor‐traded) and electronically traded (E‐mini) index futures markets of the DJIA, S&P 500, and NASDAQ‐100 indices. The results show that although price clustering is ubiquitous in both the floor‐traded and...

The impact of changes in trading costs, due to decimalization, on informed trading and speed of information transmission between exchange‐traded funds (ETFs) and their corresponding index futures is examined. ETFs began to trade in decimals on January 29, 2001, and index futures continued to...

<section xml:id="fut21655-sec-0001"> This study examines whether deviations from put–call parity are informative about future volatility in the underlying index. Using the difference in implied volatility between call and put options to measure these deviations, we find that deviations from put–call parity predict future...</section>