Blocktrades in OTC Options Markets: Price Impact and Liquidity Effects
26 Pages Posted: 26 Jun 2019 Last revised: 2 Jul 2019
Date Written: May 15, 2019
While Over-The-Counter (OTC) markets have widely been studied for equity and interest-rate products, there is only scarce literature on OTC derivative equity markets. In this paper we use use Market Data for regular Eurex Options and OTC-Blocktrades to study differences for OTC and regular (meaning exchange traded) derivatives. We consider major German companies in the years before and during the financial crisis 2008. We find significant differences in prices and provided liquidity.
Keywords: OTC Derivatives, Black Scholes Model, Financial Crisis
JEL Classification: G12, G13
Suggested Citation: Suggested Citation