Arbitrage Opportunities on the ODAX Options Market: A High-Frequency Analysis

Banque et Marchés, Issue 89, pp. 45-54, 2007

10 Pages Posted: 26 Oct 2009 Last revised: 3 Aug 2018

See all articles by David Ardia

David Ardia

HEC Montreal - Department of Decision Sciences

Date Written: November 1, 2006

Abstract

This article analyses the arbitrage opportunities on the ODAX options market in an intra-daily framework. Tests are based on the prices’ lower boundary and on the put-call parity. We consider the futures price for the underlying and the bid-ask spread in order to diminish the synchronisation bias and integrate transaction costs. Our results exhibit a small number of violations. Furthermore, the potential gains are not substantial for market-makers.

Keywords: Index options, arbitrage tests, lower boundary, put-call parity

JEL Classification: G13, G14

Suggested Citation

Ardia, David, Arbitrage Opportunities on the ODAX Options Market: A High-Frequency Analysis (November 1, 2006). Banque et Marchés, Issue 89, pp. 45-54, 2007, Available at SSRN: https://ssrn.com/abstract=1477099

David Ardia (Contact Author)

HEC Montreal - Department of Decision Sciences ( email )

3000 Côte-Sainte-Catherine Road
Montreal, QC H2S1L4
Canada

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