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Impact of Options Hedge on Cash Market
Posted: August 4th, 2003, 3:53 pm
by b00008361
Hello,I would like to study the impact of option hedging on the cash market...For exemple if I buy a call I have to sell delta stocks in order to be delta flat ..; but the seller of the option have to do the opposite that means to buy stoks... so I would like to see for exemple if market bid/ask spreads on the cash market widden or not ... and other things...I am looking for research article dealing with this topics so Thx for Help...Sam
Impact of Options Hedge on Cash Market
Posted: August 4th, 2003, 4:03 pm
by Martingale
Are you looking at academic or others? for academic here is one, and you can dig out the reference papers as well.
http://www.risklab.ch/Papers.html#IlliquidMarketsCheers,
Impact of Options Hedge on Cash Market
Posted: August 4th, 2003, 4:26 pm
by Johnny
"For exemple if I buy a call I have to sell delta stocks in order to be delta flat ..; but the seller of the option have to do the opposite that means to buy stoks."If it's two market makers trading then they'll cross deltas, i.e. they will trade the underlying shares with each other so no market impact. The case you should be concerned about is where one side hedges (i.e. the market maker) and the other side doesn't (i.e. the client).
Impact of Options Hedge on Cash Market
Posted: August 5th, 2003, 8:30 am
by b00008361
Thx for your reactivity the article is quite interesting. If you have others which are not mentioned in this one don't hesitate...Regards,Sam
Impact of Options Hedge on Cash Market
Posted: August 5th, 2003, 3:10 pm
by b00008361
I have not found any article using hight frequency datas...so if one of U knows about one don't hesitate ...