—Derivatives trading has become more interactive
with equity transactions recently. One of those interactions is
the stock clustering effect around option expiration days. This
paper examines stock clustering effects from 2010 to 2012 when
weekly equity options became available to the public. With 96
common stocks with weekly options traded in the available
period, we show that stock clustering effect still exists on
expiration days for listed monthly options, but this effect is
much weaker for newly listed weekly options. Besides studying
this average sample effect, we find an interesting result when we
take a closer look at firm-specific effect. Only a limited number
of firms have this clustering effect, and close to three quarters of
the firms show no clustering effect at all. All these results
demonstrate that stock clustering on option expiration days is
not uniform for all stocks.
—Stock clustering, weekly options, expiration
The authors are with William Patterson University, Wayne, NJ 07074
(e-mail: firstname.lastname@example.org, email@example.com, firstname.lastname@example.org).
Cite:Ge Zhang, Haiyang Chen, and Francis Cai, "Stock Clustering Effect from Weekly Equity Options," Journal of Economics, Business and Management vol. 2, no. 2, pp. 122-124, 2014.