Blocktrades in OTC Options Markets: Price Impact and Liquidity Effects

26 Pages Posted: 26 Jun 2019 Last revised: 2 Jul 2019

See all articles by Ruediger Kiesel

Ruediger Kiesel

University of Duisburg-Essen - Faculty of Economic Science

Alessio Pietrobono

affiliation not provided to SSRN

Date Written: May 15, 2019

Abstract

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

Kiesel, Ruediger and Pietrobono, Alessio, Blocktrades in OTC Options Markets: Price Impact and Liquidity Effects (May 15, 2019). Available at SSRN: https://ssrn.com/abstract=3408497 or http://dx.doi.org/10.2139/ssrn.3408497

Ruediger Kiesel (Contact Author)

University of Duisburg-Essen - Faculty of Economic Science ( email )

Essen, 45117
Germany

HOME PAGE: http://www.lef.wiwi.uni-due.de/

Alessio Pietrobono

affiliation not provided to SSRN

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