By extending and reviewing determinants of the implied volatility in the context of high frequency (HF) trade-by-trade DAX equity options from the EUREX a mean-reversion autocorrelation process is revealed, besides confirming low frequency results such as moneyness, time, liquidity, volume and...

HighlightsThe Case of Fleeting Orders and Flickering Quotes⋆Rapid submission and cancellation clusters are connected to liquid marketsFleeting orders and flickering quotes dominate the order books of optionsPositive effects on market quality due to price discovery and trading at a discount

The literature controversially discusses the ambiguous motives and driving forces behind HFT market typical very fast up and down jumps of the order book prices - so-called fleeting orders. In particular, manipulative and dysfunctional characteristics are feared. We show with an ultra-low...