Option Market Makers' Hedging Model
The model suggests that the way Option Market Makers manage their option inventory can cause unpredictable changes in stock prices, with their net option position being a key predictor of SPX futures' end-of-day return.
Featured in No. 63 on 28 Aug 2024 · 2 days after release
- Released
- 26 Aug 2024
- First featured
- No. 63 · 28 Aug 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 4
- Identifier
- SSRN 4936978
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