High-Frequency Trading (HFT) in the Stock Market and the Costs of Option Market Making
High-Frequency Trading (HFT) in the Stock Market and the Costs of Option Market Making
复制标题
DOI：
10.2139/ssrn.3776590
复制
发表时间：
2020-01
期刊：
影响因子：
--
通讯作者：
M. Nimalendran;Khaladdin Rzayev;Satchit Sagade
中科院分区：
文献类型：
--
作者：
M. Nimalendran;Khaladdin Rzayev;Satchit Sagade
基于NASDAQ高频交易数据，我们发现股票市场的高频交易活动通过两个渠道增加了期权市场的做市成本：对冲渠道和套利渠道。高频交易者的流动性需求订单增加了套期保值成本，这是由于更高的股票买卖价差和更大的套期保值需求的更高价格影响。套利渠道使期权做市商承受以陈旧价格交易的风险。我们发现，对冲（套利）渠道是占主导地位的ATM（ITM）期权。我们的研究结果强调了更好地了解期权市场高频交易的成本/风险的必要性。
Based on granular NASDAQ HFT data, we find that HFT activity in the stock market increases market-making costs in the options markets via two channels: the hedging channel and the arbitrage channel. HFTs' liquidity-demanding orders increase the hedging costs due to a higher stock bid-ask spread and a higher price impact for larger hedging demand. The arbitrage channel subjects the option market maker to the risk of trading at stale prices. We show that the hedging (arbitrage) channel is dominant for ATM (ITM) options. Our results highlight the necessity to better understand the costs/risks due to HFT on option markets.