Abstract
This paper provides a guide to high-frequency option trade and quote data disseminated by the Options Price Reporting Authority (OPRA). We present a comprehensive overview of the U.S. option market, including details on market regulation and the trading processes for all 16 constituent option exchanges. We review the existing literature that utilizes high-frequency options data, summarizes the general structure of the OPRA dataset, and presents a thorough empirical description of the observed option trades and quotes for a selected sample of underlying assets that contains more than 25 billion records. We outline several types of irregular observations and provide recommendations for data filtering and cleaning. Finally, we illustrate the usefulness of the high-frequency option data with two empirical applications: option-implied variance estimation and risk-neutral density estimation. Both applications highlight the rich information content of the high-frequency OPRA data.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 128-177 |
| Number of pages | 50 |
| Journal | Journal of Financial Econometrics |
| Volume | 19 |
| Issue number | 1 |
| DOIs | |
| State | Published - 2021 |
Funding
The authors thank the guest editor Kris Jacobs and two anonymous referees for their invaluable comments which greatly improved the quality of this paper. They would like to acknowledge the financial support from the ESRC-FWF bilateral grant titled "Bilateral Austria: Order Book Foundations of Price Risks and Liquidity: An Integrated Equity and Derivatives Markets Perspective", Grant Ref: ES/N014588/1 and the Austrian Science Fund (FWF): Research project: I-2762-G27.
Keywords
- high-frequency data
- market microstructure
- options
ASJC Scopus subject areas
- Finance
- Economics and Econometrics