Equity Options During the Shorting Ban of 2008

31 Pages Posted: 2 Jun 2010 Last revised: 10 Jun 2019

See all articles by Nusret Cakici

Nusret Cakici

Fordham University

Gautam Goswami

Fordham University - Finance Area

Sinan Tan

Fordham University - Gabelli School of Business

Date Written: April 1, 2018

Abstract

The Securities and Exchange Commission’s 2008 emergency order introduced a shorting ban of some 800 financials traded in the US. This paper provides an empirical analysis of the options market around the ban period. Using transaction level data from OPRA (The Options Price Reporting Authority), we study the options volume, spreads, pricing measures and option trade volume informativeness during the ban. We also consider the put–call parity relationship. While mostly statistically significant, economic magnitudes of our results suggest that the impact of the ban on the equity options market was likely not as dramatic as initially thought.

Keywords: SEC; Shorting Ban; OPRA; Intraday Stock Options

JEL Classification: G01, G12, G13

Suggested Citation

Cakici, Nusret and Goswami, Gautam and Tan, Sinan, Equity Options During the Shorting Ban of 2008 (April 1, 2018). Available at SSRN: https://ssrn.com/abstract=1618873 or http://dx.doi.org/10.2139/ssrn.1618873

Nusret Cakici

Fordham University ( email )

Fordham University
Graduate School of Business
New York, NY 10023
United States
2126366776 (Phone)

Gautam Goswami

Fordham University - Finance Area ( email )

33 West 60th Street
New York, NY 10023
United States
212-636-6181 (Phone)
212-765-5573 (Fax)

Sinan Tan (Contact Author)

Fordham University - Gabelli School of Business ( email )

113 West 60th Street
Bronx, NY 10458
United States

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