Order Cancellations, Fees, and Execution Quality in US Equity Options

• 成果类型: Article
• 署名作者: Griffith, Todd G.; Van Ness, Robert A.
• 署名单位: Utah System of Higher Education; Utah State University; University of Mississippi
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhz088
• 发表日期: 2020
• 页码: 1534
• 关键词: market; STOCK; equilibrium; INFORMATION; prices; volume

摘要

We examine the effects of an order cancellation fee on limit order flow and execution quality in the PHLX options market. The cancellation fee on professional order flow effectively reduces the rate at which limit orders are canceled. Whereas the cancellation fee discourages the submission of nonmarketable orders, it encourages the submission of marketable orders. Consequently, nonmarketable order fill rates increase; marketable order fill speeds decrease; and bid-ask spreads widen. We also find slight increases in both dollar volume and market share.