Top Research Papers on Options Trading

Abstract Conventional estimates of the costs of taking liquidity in options markets are large. Nonetheless, options trading volume is high. We resolve this puzzle by showing that options price changes are predictable at high frequency, and many traders time executions by buying (selling) when the option fair value is close to the ask (bid). Effective spreads of traders who time executions are less than 40% of the size of conventional measures, and the overall average effective spread is one-quarter smaller than conventional estimates. Price impact measures are also affected. These findings alt...

Abstract We uncover new return predictability in the cross-section of delta-hedged equity options. Expected returns to writing delta-hedged calls are negatively correlated with stock price, profit margin, and firm profitability, but positively correlated with cash holding, cash flow variance, new shares issuance, total external financing, distress risk, and dispersion of analysts’ forecasts. Our option portfolio strategies have annual Sharpe ratio above two and remain profitable after transaction costs. Their profits can be explained by two option factors, while equity risk factors have no exp...

Abstract In the context of trade protectionism impacting economic and environmental sustainability, a more comprehensive understanding of the impact of trade on carbon emissions is critical to economic and environmental sustainability. Existing literature mainly explores the impact of trade on carbon emissions from the perspective of trade openness, neglecting the perspectives of trade diversification and trade direction. This study aims to fill this gap by investigating the impact of trade openness (measured by trade volume, import, and export), and trade diversification (measured by import d...

It is concluded that management should focus on spatial approaches, adaptation to climate change, and facilitating technological innovation to address externalities and encourage sustainable development of the aquaculture sector.

An overview of the antimicrobial resistance in Achromobacter species is given, highlighting the possible place of new antibiotics in their treatment.

Osteoporosis is a metabolic bone disease that, on a cellular level, results from osteoclastic bone resorption not compensated by osteoblastic bone formation. This causes bones to become weak and fragile, thus increasing the risk of fractures. Traditional pathophysiological concepts of osteoporosis focused on endocrine mechanisms such as estrogen or vitamin D deficiency as well as secondary hyperparathyroidism. However, research over the last decades provided exiting new insights into mechanisms contributing to the onset of osteoporosis, which go far beyond this. Selected mechanisms such as int...

Under climate change policy restrictions, carbon capture utilization and storage (CCUS) is a feasible way for developing countries to meet the energy demand and achieve the goal of carbon dioxide emission reduction at the same time. The common form of carbon dioxide utilization in CCUS is to use carbon dioxide as an oil displacement medium to enhance oil recovery (EOR). However, affected by the global economic downturn and the impact of low oil prices, the future development of CCUS-EOR is full of uncertainty. As a market-oriented policy tool, it is widely recognized that carbon trading mechan...

The increasing motorisation rate worldwide is responsible for the demand of huge quantities of tyres that, after their useful service life, become waste and should be properly managed. Due to the relative low cost of tyres and the complexity related to recycling, worldwide around 41% of the total amount of end-of-life tyres is discarded into landfills or stockpiles without any recovery of the material or of the energy. Moreover, the chemical composition of tyres makes them extremely resistant to degradation phenomena with a potential long-term permanence in the environment. The high energy amo...

A methodology to price options and portfolios of options on a gate-based quantum computer using amplitude estimation, an algorithm which provides a quadratic speedup compared to classical Monte Carlo methods.

The sheer importance of repurposing some of the available antiviral and antimicrobial agents that have long been in use so as to have an effective and expeditious response to this widespread pandemic is highlighted.

Understanding immune evasion strategies of SARS-CoV2 and the resulting delayed massive immune response will result in the identification of biomarkers that predict outcomes as well as phenotype and disease stage specific treatments that will likely include both antiviral and immune modulating agents.

A comprehensive review and discussion of various studies that have been carried out on the toxicity and valorization of cigarette butt waste is provided and the feasibility and sustainability of recycling methods adopted are investigated.

This paper reviews data from different studies that have evaluated the efficacy of different forms of relapsed glioblastoma, and assesses the impact on survival and the selection of patients who may benefit most from these strategies.

The diagnosis of lipedema remains a challenge because of the hetero - geneous presentation of the condition and the current lack of objective measuring instruments to characterize it, so research in this area should focus on the elucidation of the pathophysiology oflipedema and the development of a specific biomarker for it.

Cancer immunotherapy overcomes the issue of specificity which is the major problem in chemotherapy and radiotherapy and the normal cells with no cancer antigens are not affected.

Systemic immunosuppressants and abatacept may provide partial control but require ongoing administration and allogeneic hematopoietic stem cell transplantation offers a possible cure for patients with CTLA-4 insufficiency.

The glass industry is part of the energy-intensive industry posing a major challenge to fulfill the CO2 reduction targets of the Paris Climate Agreement. The segments of the glass industry, e.g., container or flat glass, are quite diverse and attribute to different glass products with different requirements to product quality and various process options. To address the challenge of decarbonizing the glass industry, firstly, an inventory of current glass products, processes and applied technologies in terms of energy efficiency and CO2 emissions is conducted. Secondly, decarbonization options a...

This book discusses the business case for Quantitative Trading, how to identify a Strategy that suits you, and the importance of minimizing Transaction Costs.

This study aims to investigate the decoupling impact of trade on carbon emissions and under what circumstances trade would contribute to decoupling carbon emissions. A combination of Tapio decoupling model and structural threshold model is developed to study and quantify the impact. The empirical study uses panel data for 124 countries around the world from 2000 to 2018. The results show that the main state of the relationship between trade openness, economic growth and carbon emissions was weak decoupling. Moreover, there are two breakpoints in the impact of trade openness on carbon emissions...

Trade policy uncertainty (TPU) has become an important source of economic uncertainty and research. We review the main sources and measures of TPU. We then provide a conceptual framework for modeling TPU and methods for estimating and quantifying its effects. We analyze its role in trade agreements and discuss open questions for future research.