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| 01649cam 2200289za 4500 |
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| 001 | 9.830105 |
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| 003 | CaOODSP |
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| 005 | 20221107145444 |
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| 007 | cr ||||||||||| |
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| 008 | 170106s2016 onc |o f|0| 0 eng d |
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| 040 | |aCaOODSP|beng |
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| 043 | |an-cn--- |
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| 086 | 1 |aFB3-5/2016-57E-PDF |
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| 100 | 1 |aChin, Faith. |
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| 245 | 10|aOptions decimalization |h[electronic resource] / |cby Faith Chin and Corey Garriott. |
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| 260 | |a[Ottawa] : |bBank of Canada, |c2016. |
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| 300 | |aii, 31 p. : |bfigures. |
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| 490 | 1 |aStaff working paper, |x1701-9397 ; |v2016-57 |
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| 500 | |a"December 2016." |
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| 504 | |aIncludes bibliographic references. |
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| 520 | 3 |aWe document the outcome of an options decimalization pilot on Canada’s derivatives exchange. Decimalization improves measures of liquidity and price efficiency. The impact differs by the moneyness of an option and is greatest for out-of-the-money options. In contrast with equity studies, decimalization improved depth near the best prices and improved liquidity for larger trades. We conclude with advice on decimalizing options: options that benefit most have underlying volatility less than 40, underlying equity bid-ask spread less than 50 basis points, at least one trade a day, and a distribution of depth skewed toward marketable prices. |
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| 692 | 07|2gccst|aCapital markets |
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| 692 | 07|2gccst|aRegulation |
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| 700 | 1 |aGarriott, Corey. |
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| 710 | 2 |aBank of Canada. |
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| 830 | #0|aStaff working paper (Bank of Canada)|x1701-9397 ;|v2016-57|w(CaOODSP)9.806221 |
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| 856 | 40|qPDF|s968 KB|uhttps://publications.gc.ca/collections/collection_2017/banque-bank-canada/FB3-5-2016-57-eng.pdf |
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