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A Descriptive Study of High-Frequency Trade and Quote Option Data, Journal of Financial Econometrics

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.

Type

Article

Author(s)

Torben Andersen, Ilya Archakov, Leon Grund, Nikolaus Hautsch, Yifan Li, Sergey Nasekin, Ingmar Nolte, Manh Cuong Pham, Stephen Taylor, Viktor Todorov

Date Published

2021

Citations

Andersen, Torben, Ilya Archakov, Leon Grund, Nikolaus Hautsch, Yifan Li, Sergey Nasekin, Ingmar Nolte, Manh Cuong Pham, Stephen Taylor, and Viktor Todorov. 2021. A Descriptive Study of High-Frequency Trade and Quote Option Data. Journal of Financial Econometrics. 19(1): 128–177.

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