Stock price clustering on option expiration dates

• 成果类型: Article
• 署名作者: Ni, SXY; Pearson, ND; Poteshman, AM
• 署名单位: University of Illinois System; University of Illinois Urbana-Champaign
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2004.08.005
• 发表日期: 2005
• 页码: 49-87
• 关键词: stock price clustering; Option expiration; hedging; manipulation

摘要

This paper presents striking evidence that option trading changes the prices of underlying stocks. In particular, we show that on expiration dates the closing prices of stocks with listed options cluster at option strike prices. On each expiration date, the returns of optionable stocks are altered by an average of at least 16.5 basis points, which translates into aggregate market capitalization shifts on the order of $9 billion. We provide evidence that hedge rebalancing by option market makers and stock price manipulation by firm proprietary traders contribute to the clustering. (c) 2005 Elsevier B.V. All rights reserved.