Chicago Board Options Exchange
The exchange where US listed options began trading in 1973, the year black-scholes was published. Discovered while ingesting information-in-option-volume.
Its role in this spoke is as a data owner, not a venue. Both CBOE-based papers here depend on a proprietary dataset that records, for every trade or open-interest position, things the public tape does not carry: whether the initiator was buying or selling, whether the trade opened or closed a position, and which class of investor was on it (market maker, firm proprietary trader, or a public customer of a discount, full-service or other broker). information-in-option-volume shows that losing just the open/close flag destroys the predictive power of the volume signal, and gamma-fragility has to assume what the CBOE data would have shown. The exchange also supplies the term itself: the 2002 Wall Street Journal report that opens information-in-option-volume is about CBOE investigating "unusual trading activity" in one company's options.
Connections
- data source for information-in-option-volume and pervasive-impact-of-option-trading
- absent from gamma-fragility, which substitutes optionmetrics open interest plus an assumption
Related
unusual-options-activity · dealer-gamma-exposure · market-making · option-pricing