Negative option values are possible: The impact of treasury bond futures on the cash US Treasury market

• 成果类型: Article
• 署名作者: Jordan, BD; Kuipers, DR
• 署名单位: University of Houston System; University of Houston; University of Kentucky
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(97)00025-1
• 发表日期: 1997
• 页码: 67-102
• 关键词: treasury bond; STRIPS; callable bond; bond options; bond futures

摘要

This paper uses a unique financial instrument in the U.S. Treasury market to study the price behavior of the put option embedded in the November 2009-14 callable U.S. Treasury bond. We find that, beginning in August 1993, the estimated option value was persistently negative on nearly every day for the ensuing eight months. We show that the anomalous pricing behavior arose because the underlying callable bond became the cheapest to deliver issue against U.S. Treasury bond futures contracts. Hence, this paper provides direct evidence that derivative assets can significantly distort pricing in the primary asset market.