Home > Research > Publications & Outputs > A descriptive study of high-frequency trade and...

Electronic data

  • DescriptiveProjectOPRA-Final-Full

    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

    Embargo ends: 6/01/23

    Available under license: CC BY-NC: Creative Commons Attribution-NonCommercial 4.0 International License

Links

Text available via DOI:

View graph of relations

A descriptive study of high-frequency trade and quote option data

Research output: Contribution to journalJournal articlepeer-review

E-pub ahead of print
Close
<mark>Journal publication date</mark>6/01/2021
<mark>Journal</mark>Journal of Financial Econometrics
Issue number1
Volume19
Number of pages50
Pages (from-to)128-177
Publication StatusE-pub ahead of print
Early online date6/01/21
<mark>Original language</mark>English

Abstract

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.

Bibliographic note

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