Is there price discovery in equity options

TL;DR: In this article, the authors decompose total order imbalance in stock transactions into the imbalance induced by option transactions and the imbalance generated by stock transactions independent of option trading activities, and they find that the stock exposure imbalance induced from option transactions has strong predictive power of stock returns that does not reverse at long horizons.

TL;DR: For instance, the authors showed that stocks with high past returns tend to have call and put option contracts that exhibit increases in implied volatility over the next month, but with decreasing realized volatility.

TL;DR: The authors decomposes the price impact of trades into inventory risk and asymmetric information components and finds that the inventory risk faced by market-makers has a first-order effect on option prices.

TL;DR: Karolyi et al. as discussed by the authors computed option illiquidity measures from intraday effective spreads for a large panel of U.S. equities, and they are robust to different empirical implementations.

TL;DR: In this article, the authors present evidence on several examples of violations of the Law of One Price, including closed-end country funds, twin shares, dual class shares, and corporate spinoffs.

TL;DR: The authors analyzes the intraday interdependence of order flows and price movements for actively traded NYSE stocks and their Chicago Board Options Exchange (CBOE)-traded options.

TL;DR: In this paper, the authors assess the information content of an open limit-order book with a particular focus on the incremental information contained in the limit orders behind the best bid and offer.

TL;DR: In this article, the authors show that the stock lead disappears when the average of the bid and ask prices is used instead of transaction prices, and they find no evidence of arbitrage opportunities associated with the stock leads.