Option Trading Manipulations on Expiry Date.

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This study investigates whether option traders on the Tel-Aviv Stock Exchange manipulate the determining index on expiration of the TA-25 options. We find: (1) a significant difference in the behaviour of opening trading on expiration days as compared to other regular trading days; (2) a clear trend toward the consolidation of the expiration indices around the strike price; (3) a tendency towards clustering of the expiration indices around an optimal point, where the cash flow attributable to all of the open positions at the time of expiration is minimal; (4) large fluctuations on the base index at opening trade. The findings indicate that the process of determining the index for exercise of the TA-25 options can be affected (manipulated) by investors. We conclude that the changes introduced by the Tel Aviv Stock Exchange to render the market more sophisticated are necessary, but are insufficient. [ABSTRACT FROM AUTHOR]
Original languageEnglish
Pages (from-to)185 - 194
JournalBanking & Finance Letters
Issue number4
StatePublished - 2009


  • Options (Finance)
  • Stock exchanges
  • Trends
  • Expiration
  • Cash flow
  • Exercise Flow
  • Expiration Date Effect
  • Financial Derivatives
  • Manipulation
  • Option Expiration
  • Stock Price Clustering


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