Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 11, 2023 erstellt
Beschreibung:
Complex options strategies figure prominently in discussions of the options market, but little is known about their frequency or why they are traded. We present a novel approach to group the legs of complex trades reported by OPRA into complex packages, and thus identify the strategies. We find that complex trades account for over 30 percent of options trading volume and concentrate in calendar, diagonal, and vertical spread trades. Straddles, strangles, and other volatility trades comprise only a small fraction of complex trades. Our results indicate that the payoffs of the spread trades are often incidental to their use, because the motive is not to gain the payoff of the complex trade but rather to adjust the expiration or strike of a simple position