Rights statement: This is a pre-copy-editing, author-produced PDF of an article accepted for publication in Journal of Financial Econometrics following peer review. The definitive publisher-authenticated version, A descriptive study of high-frequency trade and quote option data, Journal of Financial Econometrics, Vol. 19(1), 2021, is available online at: https://academic.oup.com/jfec/article/19/1/128/6066685
Accepted author manuscript, 6.77 MB, PDF document
Available under license: CC BY-NC: Creative Commons Attribution-NonCommercial 4.0 International License
Final published version
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
}
TY - JOUR
T1 - A descriptive study of high-frequency trade and quote option data
AU - Andersen, Torben
AU - Archakov, Ilya
AU - Grund, Leon
AU - Hautsch, Nikolaus
AU - Li, Yifan
AU - Nasekin, Sergey
AU - Nolte, Ingmar
AU - Pham, Manh
AU - Taylor, Stephen
AU - Todorov, Viktor
N1 - This is a pre-copy-editing, author-produced PDF of an article accepted for publication in Journal of Financial Econometrics following peer review. The definitive publisher-authenticated version, A descriptive study of high-frequency trade and quote option data, Journal of Financial Econometrics, Vol. 19(1), 2021, is available online at: https://academic.oup.com/jfec/article/19/1/128/6066685
PY - 2021/1/31
Y1 - 2021/1/31
N2 - This paper provides a guide to high-frequency option trade and quote data disseminated by the Options Price Reporting Authority (OPRA). We present a comprehensive overview of the U.S. option market, including details on market regulation and the trading processes for all 16 constituent option exchanges. We review the existing literature that utilizes high-frequency options data, summarizes the general structure of the OPRA dataset, and presents a thorough empirical description of the observed option trades and quotes for a selected sample of underlying assets that contains more than 25 billion records. We outline several types of irregular observations and provide recommendations for data filtering and cleaning. Finally, we illustrate the usefulness of the high-frequency option data with two empirical applications: option-implied variance estimation and risk-neutral density estimation. Both applications highlight the rich information content of the high-frequency OPRA data.
AB - This paper provides a guide to high-frequency option trade and quote data disseminated by the Options Price Reporting Authority (OPRA). We present a comprehensive overview of the U.S. option market, including details on market regulation and the trading processes for all 16 constituent option exchanges. We review the existing literature that utilizes high-frequency options data, summarizes the general structure of the OPRA dataset, and presents a thorough empirical description of the observed option trades and quotes for a selected sample of underlying assets that contains more than 25 billion records. We outline several types of irregular observations and provide recommendations for data filtering and cleaning. Finally, we illustrate the usefulness of the high-frequency option data with two empirical applications: option-implied variance estimation and risk-neutral density estimation. Both applications highlight the rich information content of the high-frequency OPRA data.
U2 - 10.1093/jjfinec/nbaa036
DO - 10.1093/jjfinec/nbaa036
M3 - Journal article
VL - 19
SP - 128
EP - 177
JO - Journal of Financial Econometrics
JF - Journal of Financial Econometrics
SN - 1479-8409
IS - 1
ER -