...Jaeram Lee This study estimates the VPIN (volume-synchronized probability of informed trading) of the KOSPI200 index options, the measure of order flow toxicity suggested by Easley et al. (2012), for the first time. To apply the VPIN approach, options are categorized by their real-time moneyness. I...

... and ATM straddles, regardless of investors’ preferences. Using the intraday data on KOSPI200 index options, one of the most actively traded options in the world, we analyze the differences in optimal choice between ‘position traders (i.e., long-term investors)’ and ‘day traders (i.e., short-term investor...

...Jin Woo Kim; Joon H. Rhee This paper extracts the factors determining the implied volatility skew movements of KOSPI200 index options by applying PCA (Principal Component Analysis). In particular, we analyze the movement of skew depending on the changes of the underlying asset price. As a result...

... may be seen at http://creativecommons.org/licences/by/4.0/legalcode KOSPI200 Index Option ITM Options Liquidity Synthetic Futures Arbitrage Market Friction No-arbitrage Condition ...