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
Date Written: November 1, 2006
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: Suggested Citation