Abstract

http://ssrn.com/abstract=946110
 
 

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Price Improvement and Order Execution Quality on the Boston Options Exchange


Nabil Khoury


University of Quebec at Montreal (UQAM) - Faculty of Management (ESG)

Stylianos Perrakis


Concordia University, Quebec - John Molson School of Business

Marko Savor


University of Quebec in Montreal

December 1, 2006


Abstract:     
This study focuses on innovations in order execution processes in competitive option markets. More specifically, it examines the impact of new competition arising from the Price Improvement Process introduced by the Boston Options Exchange on options spreads and the quality of order execution. Using an original data set, the paper shows that the marginal price improvement averages 1.49% of the option price quoted immediately before the transaction, and that this improvement varies according to order size and market liquidity. Moreover, price effects appear to be temporary as quoted spreads immediately after PIP related transactions revert to their previous higher level.

Number of Pages in PDF File: 40

Keywords: market microstructure, options, price improvement process

JEL Classification: G14, C23

working papers series





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Date posted: November 21, 2006 ; Last revised: October 27, 2010

Suggested Citation

Khoury, Nabil and Perrakis, Stylianos and Savor, Marko, Price Improvement and Order Execution Quality on the Boston Options Exchange (December 1, 2006). Available at SSRN: http://ssrn.com/abstract=946110 or http://dx.doi.org/10.2139/ssrn.946110

Contact Information

Nabil Khoury
University of Quebec at Montreal (UQAM) - Faculty of Management (ESG) ( email )
Case postale 8888
Succursale Centre-ville
Montreal, Quebec H3C 3P8
Canada
514-987-3000 x6717 (Phone)
Stylianos Perrakis
Concordia University, Quebec - John Molson School of Business ( email )
1455 de Maisonneuve Blvd. W.
Montreal, Quebec H3G 1M8
Canada
Marko Savor (Contact Author)
University of Quebec in Montreal ( email )
Case postale 8888
Succursale Centre-ville
Montreal, Quebec H3C 3P8
Canada
514-987-3000 ext.: 8553 (Phone)
HOME PAGE: http://www.uqam.ca
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