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arXiv · 1602.03043

The square-root impact law also holds for option markets

Bence Toth·Zoltan Eisler·Jean-Philippe Bouchaud
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Abstract

Many independent studies on stocks and futures contracts have established that market impact is proportional to the square-root of the executed volume. Is market impact quantitatively similar for option markets as well? In order to answer this question, we have analyzed the impact of a large proprietary data set of option trades. We find that the square-root law indeed holds in that case. This finding supports the argument for a universal underlying mechanism.

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Bence Toth, Zoltan Eisler, Jean-Philippe Bouchaud. 2016-02-09. The square-root impact law also holds for option markets. https://arxiv.org/abs/1602.03043

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