One session options: Playing the announcement lottery?

Lee A. Smales, Zhangxin (Frank) Liu, Cameron D. Robertson

Research output: Contribution to journalArticlepeer-review

Abstract

One session options (OSOs) fulfill the criteria for a lottery-type asset; a low price coupled with a relatively small probability of a large payoff. We examine trading behavior for intraday OSO contracts on the Australian 3-Year Treasury bond future. We find that volume is higher on days with a major macroeconomic announcement, and concentrated in the time before data release. Volume tends to be higher when there is a greater difference of opinion concerning the announcement outcome or when the level of economic policy uncertainty is higher. We propose that 'differences of opinions' best explain OSO trading behavior.

Original languageEnglish
Pages (from-to)192-211
Number of pages20
JournalJournal of Futures Markets
Volume42
Issue number2
Early online date19 Aug 2021
DOIs
Publication statusPublished - Feb 2022

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