KOSPI 200 주가지수 ATM과 OTM 옵션에 대한 전략적 투자행동의 영향

We conduct a market microstructure analysis of the impact of traders’ strategic behavior, under asymmetric information, on option prices. We analyze a single market-the KOSPI 200 index options market-rather than multiple linked markets. Our analysis focuses on two key aspects：First, if traders’ strategic behavior has a significant impact on the option return process, the returns of the At-The-Money (ATM) and the Out-Of-The-Money (OTM) options will respond differently to informational shocks. Second, we explicitly test whether the option and its underlying security are redundant; we find that they are not, and we attribute this to trader’s strategic behavior (see Back, 1993). We examine the dependence of the expected duration of the KOSPI 200 index option returns on market statistics such as frequency of trading, trade size and time to maturity, separating the ATM options from the OTM options. Using intraday data for put and call options from July to September 2003, we obtain the following main results. First, the relationship between expected duration and trade size for the OTM options is opposite to that for the ATM options. Second, the ATM options exhibit a clear maturity effect, while the OTM options exhibit it only under certain test specifications.