Expiration Day Research Articles

Enhancing the Quality of Ready‐to‐Eat Trout Burger Patties: Investigating the Combination of Modified Atmosphere Packaging and Microbial Transglutaminase Enzyme

ABSTRACTIn this study, rainbow trout patties (Oncorhynchus mykiss Walbaum, 1792) were treated under a modified atmosphere (MA) (60/40:CO2/N2) packed with microbial transglutaminase enzyme (MTGase) at varying concentrations (0.5% and 1%) and kept for a full day at 2°C ± 2°C. Denser and more complex intermolecular cross‐linking formations between peptides and gel network structures were observed in the first and last scanning electron microscope images of MTGase‐containing groups. MTGase increased the springiness, hardness, shear force, and work‐of‐shear parameters during the storage period in uncooked and cooked patties compared to the control group. The protein, energy, moisture, and amino acid contents were maintained in the MTGase‐containing groups, but using MTGase at higher concentrations was ineffective. Microbiological analyses have shown that MTGase is partially effective on microbial fauna, and the most significant inhibitory effect was determined on total mesophilic aerobic bacteria (TMAB). In all groups, the total amounts of saturated, monosaturated, and polyunsaturated fatty acids remained unchanged on both production and expiration days (p > 0.05). After mixing the burger patty additives into the ground meat, the amounts of sodium, calcium, potassium, and magnesium increased in all groups (p < 0.05); however, a decrease in calcium was observed in the MTGase‐containing groups (p < 0.05) compared to the control group. The higher proportion of the MTGase‐contained group did not exhibit significant differences compared to the lower proportion of the MTGase‐contained group, except for textural characteristics and the TMAB inhibition effect.

Expiration day effects of stock and index futures on the Warsaw Stock Exchange before and in the initial phase of the COVID-19 pandemic

This paper examines the existence of expiration day effects of stock and index derivatives on the Warsaw Stock Exchange. Event study analysis is employed to high-frequency data to check the occurrence of four types of anomalies: abnormal increase in trading volume and in intraday volatility of underlying stocks, price reversal and price shock. The study confirms that on expiration days trading volume of underlying stocks increase unusually during the time when final settlement prices of expiring futures are being calculated. Intraday volatility of stock prices is also abnormally high on expiration days. However, before 2020 this price effect occurred on expiration days during triple withing hour, while in the initial phase of COVID-19 pandemic it has been visible on expiration days only at the close and additionally at the beginning of the next trading session. The analysis of price reversal and price shock effects revealed that only the second anomaly is a phenomenon which constantly appears after futures expiration, indicating the distortion of stock prices on expiration days and their return to normal levels at the beginning of the next trading session. Division of the research period (2018-2020) into two parts allow to find out that after the outbreak of the pandemic, when the importance of hedgers’ activity on the futures market have increased, some of the analyzed anomalies have weakened and their duration have been shortened. However, distortions of underlying stock prices have been still visible at the close of the trading session on expiration days. This suggests that as long as the final settlement prices of stock future are equal to closing prices of underlying stocks, expiration day effects will occur on the WSE.

Expiration day effect on the Nifty Futures volume and price: an empirical evidence

Expiration day effect on the Nifty Futures volume and price: an empirical evidence

The role of fleeting orders on option expiration days

We employ NASDAQ order level data to analyze intraday trading at option expirations and cross-market price pressure spillover. We observe more fleeting orders in optionable stocks on option expiration versus non-expiration days. The relation between NBBO proximity to strike prices and fleeting order direction, the relation between option Open Interest and fleeting order direction, as well as their placement outside NBBO suggest spoofing and price manipulation rather than a simple search for latent liquidity. We show that fleeting orders impact subsequent NBBO and increase likelihood of stock prices crossing option strike prices on option expiration days.

Is There Any Witching in the Cryptocurrency Market?

This paper explores price effects caused by the expiration of derivatives in the cryptocurrency market. Applying different statistical tests (ANOVA, Mann–Whitney, and t-tests) and econometric methods (the modified cumulative abnormal return approach, regression analysis with dummy variables, and the trading simulation approach) to daily and weekly Bitcoin data over the period 2018–2021, the following hypotheses are tested: (H1) Expiration days create patterns in price behavior in the cryptocurrency market; and (H2) Price patterns can be exploited to generate abnormal profits from trading. The results suggest that expiration effects are only nominally present in the cryptocurrency market. There are differences in returns between expiration-related periods and average returns, but these differences are statistically insignificant. The only case in which an anomaly was detected was related to abnormally high returns during the week of expiration: returns during such weeks were positive in 65% of cases, and were on average 5 times higher than during usual weeks. Trading strategies based on this fact were able to generate results different from those of random trading, with a Sharpe ratio above 1. This is evidence in favor of the existence of a real price anomaly, which contradicts the efficient market hypothesis, and this could be implemented in the practice of traders and investors by creating trading strategies based on detected price effects or special technical analysis indicators to generate trading signals. For academics, these results might provide an opportunity to improve time series forecasting analysis in the case of Bitcoin.

Impact of Pulmonary Rehabilitation on Hospitalization Duration, IL-6 Levels, and Respiratory Muscle Power in Hospitalized Community-Acquired Pneumonia Patients

Background: Pneumonia is acute inflammation of the lung parenchyma. The long duration of hospitalization is associated with increased morbidity, nosocomial infections and treatment costs. Methods: The study was conducted from May to November 2019 at Saiful Anwar Hospital, Malang, with 40 pneumonia patients in the non-intensive community inpatient room divided into 2 groups. The treatment group performed pulmonary rehabilitation measures consisting of breathing exercise, effective coughing techniques, clapping, postural drainage and respiratory muscle training using spirometry incentives. Results: The duration of hospitalization for the treatment group was 2.25 days shorter (p<0.001). The average IL-6 level in the 5th day of the treatment group was lower than without treatment, that was 54.43 pg/ml (p=0.221). The mean of pressure threshold loading in the group without treatment was 31.5 cmH2O on first day and 36.35 cmH2O on the 5th day (p <0.001) and on first day treatment group was 32.9 cmH2O and 39.35 cmH2O on the 5th day (p=0.001), and the mean value of the 5th day of the treatment group was higher than without treatment (P=0.015). the mean of the 5th day of the treatment group was higher than without treatment (p=0.06).Conclusion: Pulmonary rehabilitation as adjunctive therapy shortens the duration of hospitalization. In both groups there was a decrease in IL-6 levels on the 5th day compared to zero and the lower IL-6 levels were not significant in the treatment group. There was a significant increase in the value of pressure threshold loading inspiration and expiration day fivecompared to day zero in the two groups and there was a significant increase in the Pressure Threshold Loading Inspiration mean treatment group compared to no treatment on the 5th day, but the Pressure Threshold Loading Expiration rate showed no significant increase.

Expiration-Day Effects of Index Futures in a Frontier Market: The Case of Ho Chi Minh Stock Exchange

This study employs OLS, GARCH and EGARCH regression models to test the expiration-day effects of index stock futures on market returns, volatility and trading volume for the Ho Chi Minh Stock Exchange (HOSE). Data used in this study is from a daily return series of the VN30-Index for the period from 10August 2017 through 30 June 2020. The results derived from GARCH(1,1) and EGARCH(1,1) models consistently confirm that Index futures expiration-day effects on market returns exists in the HOSE. Specifically, the average market return for expiration days is significantly lower than other trading days, by 0.13% at the 5% level of significance. However, the results obtained from the regression models indicate that the expiration-day has no impact on market volatility and trading volume.

The Role of Fleeting Orders on Options Expiration

We employ NASDAQ order level data to analyze intraday trading at option expirations and cross-market price pressure spillover. Algorithmic traders appear to place proportionately more fleeting orders in optionable stocks on option expiration versus non-expiration days. Since most observed fleeting orders are outside the NBBO, we discard the possibility that their purpose is to search for latent liquidity. Relation between NBBO proximity to strike prices and fleeting order direction implies they play a role in stock price clustering on option expiration days. We show that fleeting orders impact subsequent NBBO and that fleeting order direction is related to option Open Interest.

Expiration-Day Effects on Index Futures: Evidence from Indian Market

Nifty Bank Index has started trading in futures and options (F&O) segment from 13^th June 2005 in National Stock Exchange. The purpose of the study is to enhance the literature by examining expiration effect on the price volatility and price reversal of Underlying Index in India. Historical data used for the current study primarily comprise of daily close prices of Nifty Bank which is the only equity sectoral index in India which is traded in derivatives market and its Future contract value is derived from the underlying CNX Bank Index during the period 1^st January 2010 till 31^st March 2020. To check stationarity of the data, Augmented Dicky Fuller test was used. The study employed ARMA- EGARCH model for analysing the data. The empirical results revealed that there is no effect on the mean returns of underlying Index and EGARCH (1,1) model furthermore shows there is existence of leverage effect in the Bank Index i.e., negative shocks causes more fluctuations in the Index than positive news of similar magnitude. The outcome of the study specifies that there is no effect on volatility on the underlying sectoral index due to expiration days and also observed no price reversal effect once the expiration days are over.

Real‐time waiting‐price trading interval in a heterogeneous options market: a Bernoulli distribution

AbstractOptions pricing remains an open research question that is challenging for both theoreticians and practitioners. Unlike many classical binomial models that assume a “representative agent,” the model suggested herein considers two players who are heterogeneous with respect to their estimations of the distribution of the underlying asset price on expiration day, and with respect to their levels of willingness to make a transaction (eagerness level). A two‐player binomial model is developed to find the real‐time optimal option price in two stages. First, we determine a primary feasible pricing domain. We then find a narrower feasible domain, termed the “waiting‐price trading interval,” meaning the region within which the players may either wait for better offers (due to a change in market conditions or player beliefs), or make an immediate transaction. The suggested model is formulated by a nonlinear optimization problem and the optimal price is shown to be unique. We demonstrate that the counter player's eagerness level has a significant effect on the proposed optimal option price. Using empirical analysis, several known lattice‐based models for option pricing, such as CRR and Tian, are compared with the current model (herein, S‐H) in which the price offered by the model player takes into account the subjective beliefs of the opposing market player. The comparison shows significant advantages to the S‐H model in terms of the expected profit on expiration day.

5% Rule Disclosure and Stock Trading Volume : Evidence from Korea

Despite the fact that the implementation of 5% rule is widely recognized to enhance the transparency of capital market and fairness of corporate governance market, a few evidences present information effect of 5% rule. Using 7,088 non-financial firm-year observations listed on the Korea Stock Exchange from 2006 to 2012, we analyze the relation between trading volume and 5% rule disclosure. The results show that the daily and abnormal trading volume is increased when 5% rule disclosure is released. Moreover, the trading volume is significantly increased during cooling period. Specifically, trading volume is significantly greater when one day before cooling period or the expiration day of cooling period. We also find the information effect of firms with stable ownership structure before 5% rule disclosure is relatively smaller than the firms with unstable ownership structure with unstable ownership structure. These results imply that capital market participants use the information from 5% rule disclosure and reflect in their real economic decision.

INSTITUTIONAL TRADING AND STOCK PINNING

ABSTRACT This paper investigates the impact of institutional trading activity on stock pinning effect for both monthly and weekly equity options. After the introduction of weekly options over seven years, it shows the pinning effect with weekly options is stronger in comparison to monthly options. Furthermore, this paper shows that stock pinning remains pervasive on the expiration days and the effect is powerful with higher concentrated firm proprietary trading. We explore and find evidence that hedge rebalancing by firm traders might be a possible cause for stock pinning on option expiration days. The higher the fraction of firm trading, the more significant the clustering effect is. Keywords Stock Pinning, Weekly Options, Institutional trading, stock clustering

Comparative empirical study of binomial call-option pricing methods using S&P 500 index data

In this paper, several binomial models are tested empirically on S&P500 Index on the levels of tradability, proximity to market (RMS) prices and profitability, especially close to expiration day. These comparisons will be carried out for many different business environments, including different market trends and moneyness levels traded. Among the models under analysis we assess the quality of the SH model, developed by the authors in previous work, in relation to other models. The option price in the SH model is affected by the players’ assessments about the behavior of the prices of the underlying asset up to the expiration day and by their “eagerness” levels (i.e., players’ readiness to respond to a given bid proposed by their opponent). We found that for all models, the higher the moneyness, the greater the proximity of models prices to actual market prices and that, eagerness parameters have a decisive effect on tradability. We also found that there was no correlation between the degree of proximity of modeled prices to actual prices and the expected profit gained by players that act according to a given model and that the SH model traded relatively small number of options. The expected profit is highest for the SH model in the ITM and ATM for days that are far from the expiration day.

Expiration day effects on European trading volumes

This study investigates the effect of periodic events, such as the stock index futures and options expiration days and the Morgan Stanley Capital International (MSCI) quarterly index reviews, on the trading volume in the pan-European equity markets. The motivation of this study stems from anecdotal evidence of increased trading volume in the equity markets during the run-up to the index options and futures expiration days and MSCI rebalances. This study investigates this phenomenon in more detail and analyses the trading volumes of seven European stock indices and the MSCI International Pan-Euro Price Index. The analysis features a multi-step ahead volume forecast, which is important for practitioners in order to plan multi-day trades while looking to minimise the market impact. The results confirm higher trading activity on the futures and options expiration days, as well as on the MSCI rebalance day. We report a clear futures and options expiration day effect, which accounts for the Friday effect in terms of larger trading volumes. The MSCI rebalance trading volume is significantly different from the volume of the adjacent months with no MSCI reviews, but they cannot explain the end-of-month effect entirely.

Impact of futures expiration on underlying stocks: intraday analysis for Warsaw Stock Exchange

Based on high-frequency data, this study is concerned with the effects of stock futures expirations on the spot market on the Warsaw Stock Exchange. The typical effects of futures expirations include the impact on the trading volume of the underlying asset, abnormally high volatility of the returns on expiration day, and price reversal after expiration. In line with observations of the effects for other markets, it can also be noticed that futures expiration is a source of rises in trading volume for the WSE. There is an observed significant abnormal trading volume and turnover of stocks that are underlying assets of futures as well as an increased volatility of these stocks’ returns on expiration day. An additional analysis conducted during three sub-periods (around April 15, 2013, and May 31, 2015) checks whether the implementation of a new transaction system on the WSE and the changes in short-selling rules influenced the expiration-day effects. The results suggest that the implementation of a new regulation by the EU on the WSE concerning short selling in trading on stock exchanges had a significant impact on expiration-day effects.

Has the VIX index been manipulated?

Recently, an influential academic study and many lawsuits have claimed that the VIX index has been manipulated since 2008. In this paper, we construct a regression model with explanatory variables that are exogenous to the index and examine the model prediction errors. We find that the movements in the daily levels of the VIX index are explained by market fundamentals and not by manipulation. We also specifically examine the VIX futures expiration days and demonstrate that the VIX closing values and VIX futures settlements prices on those days are consistent normal market forces and are not artificial.

Settlement procedures and stock market efficiency

AbstractThis study examines why most derivatives markets that settle on the day following expiration choose the opening rather than the closing price as the final settlement price (FSP), whereas most markets that settle on the expiration day select an average rather than a single price as the FSP. Four exogenous changes in the Taiwan Futures Exchange settlement procedures provide an experimental basis for studying the settlement procedures’ impact on underlying assets. Greatest market efficiency is observed when the FSP is determined by a single rather than an average price and hypothesize that manipulation is prevented at the expense of market quality.

선물·옵션 만기일의 주가조작 행위에 대한 실증분석

선물·옵션 만기일의 주가조작 행위에 대한 실증분석

Has the VIX Been Manipulated?

Recently an influential academic study and many lawsuits have claimed that the VIX index has been manipulated since 2008. In this paper, we construct a regression model with explanatory variables that are exogenous to the index and examine the model prediction errors. We find that the movements in the daily levels of the VIX index are explained by market fundamentals and not by manipulation. We also specifically examine the VIX futures expiration days and demonstrate that the VIX closing values and VIX futures settlements prices on those days are consistent normal market forces and are not artificial.

Hygienic-sanitary quality of Minas fresh cheese sold in the city of Botucatu, São Paulo

ABSTRACT: The Minas fresh cheese is a fresh and moist cheese and, therefore, has a short shelf-life. The use of raw milk as the main feedstock, the absence of ripening and the facility of contamination are factors that can compromise the product’s microbiological quality. The aim of this study was to describe the hygienic-sanitary quality of 50 Minas fresh cheeses marketed in Botucatu city, São Paulo, Brazil, close to their production date, and another 50 units from the same lot exactly on the expiration date, according to the Brazilian Sanitary Surveillance Agency (ANVISA). We also searched for enterotoxins genes in Staphylococcus aureus and its in vitro expression. In 36% of the first analyzed samples, the count of coliforms at 45ºC was above the limit and, as for the second analysis, 44%. Regarding coagulase positive staphylococci, 10 (20%) samples showed concentration above the permitted by law next to the production date and 14% on the expiration date. Salmonella was only observed in one sample analyzed near the date of production, while L. monocytogenes only in one sample analyzed on the expiration day. We isolated three enterotoxigenic strains of S. aureus that produced Staphylococcal Enterotoxin B (SEB) and Staphylococcal Enterotoxin C (SEC) in vitro, highlighting the importance of proper storage of this product due to its potential to cause intoxication. Overall, the quality of Minas fresh cheese is still unsatisfactory, leading to risks to consumers’ health.