비정상 옵션가격의 현물가격 선도효과

It is well known that the option prices have the monotonicity property and the perfect correlation property. According to the monotonicity property, the value of a European call (put) should be nondecreasing (nonincreasing) in the underlying asset price. The perfect correlation property assumes that all option prices, regardless of moneyness and maturity, are perfectly correlated with each other and with the underlying asset. In this article, we examine whether the violations of the basic properties of the option prices exist in one minute interval basis in the KOSPI200 option market and test whether the violations have the predicting power of the future spot index returns. The sample period is from January 2, 2002 to December 28, 2006. Our important finding may be summarized as follows. The irregular option prices movements which violated the basic properties of the option prices have the important informational contents regarding the future spot index return. The various types of the violations have consistent relationships with the future spot index movements. The future spot index movements also can be forecasted based on the change of the violation rate of the basic properties. The higher violation rate group has the higher lead effect for the future index return than the lower violation rate group. We confirmed that the lead-effects of the violation rate for the future spot return come from the fact that option prices lead the spot prices.