Analysis of OBOE AAPL option trading data(a)
Summary activity of directional market participants (i.e., retail investors) 4,
Opening versus closing transactions for
The CBOE has data on - Since the Monday / Friday phenomenon directional market participantsm
each option trade and coincides with the listing of weekly options, 70%
designates the buyer and we focused on options with the shortest expiry 65%
seller of options as either 6096
"customer" or "firm". We
attribute "customer" — Consistent with a hypothesis that Monday's
X 55%
o%
5
transactions to directional outperformance is due, at least in part, to is 45%
retail investors, and "firm" retail investors initiating option positions, the 4016
transactions to hedged °35%
vast majority of directional option trades on 3016
market participants
Mondays were opening transactions 25%
The dataset has certain 20%
Monday Tuesday Wednesday Thursday Friday
limitations: — In addition, the majority of the positions that
% of option trades that opened positions
- The CBOE is only one were opened were bullish transactions,
- % of option trades that closed positions
of several exchanges which would have caused a hedged market
that list options (with participant to buy shares Bullish opens versus bearish opens for
-20% of total volume) directional market participants(b)
- Market maker trades 50%
are excluded — By Friday, the majority of option trades were
- The data does not have closing transactions 40%
time stamps (which
30%
would have allowed us — Since the majority of option trades were 0°
to see whether trading bullish positions, closing these positions
is clustered during a
a 20%
would have caused a hedged market 0
certain part of the day at
participant to sell shares 10%
and compare this to the
stock's intraday
0%
behavior) Monday Tuesday Wednesday Thursday Friday
■ Bullish opens (buy calls t sell puts) ■Bearish opens (sell calls / buy puts)
Deutsche Bank (a) Source: vmmcmarketdataexpress.com. 5
(b) From July 2010 to February 2014. Based on options with the shortest expiry.
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