Open and closed positions and stock index futures volatility

• Autor(es): Carchano, Óscar ; Lucia, Julio ; Pardo, Ángel
• Data: 2011
• Identificador Persistente: http://hdl.handle.net/10400.21/1406
• Origem: Repositório Científico do Instituto Politécnico de Lisboa
• Assunto(s): Volatility; Open interest; Trading volume
• Tipo de Documento: Documento de conferência
• Idioma: Inglês

Descrição

In this paper we analyze the relationship between volatility in index futures markets and the number of open and closed positions. We observe that, although in general both positions are positively correlated with contemporaneous volatility, in the case of S&P 500, only the number of open positions has influence over the volatility. Additionally, we observe a stronger positive relationship on days characterized by extreme movements of these contracting movements dominating the market. Finally, our findings suggest that day-traders are not associated to an increment of volatility, whereas uninformed traders, both opening and closing their positions, have to do with it.