Shivesh Prakash, Frank Ferstler, Nicholas Pezolano · 2026 · arXiv (Cornell University)
DOI: 10.48550/arxiv.2610.13044 · cited by 0 works (OpenAlex) · open-access PDF
Opsi FLEX adalah kontrak pertukaran yang disesuaikan yang memungkinkan peserta untuk memilih serangan non-standar, expirasi, gaya latihan, dan ketentuan penutupan sambil mempertahankan penutupan pusat. Kami menyelidiki apakah aktivitas FLEX satu nama meninggalkan jejak yang dapat diukur di pasar opsi terdaftar reguler dan saham yang mendasarinya. Menggunakan set data yang terhubung dari konsolidasi FLEX, file bunga terbuka harian, rantai opsi terdaftar, pengembalian ekuitas, dan saham perusahaan selama 250 hari perdagangan (March 2025-March 2026) di antara 41 dasar dan 53 tanggal peristiwa, kami mendokumentasikan tiga temuan empiris utama: (1) Perkiraan perbedaan-in-diferensi yang disesuaikan dengan kontrol mengungkapkan peningkatan arah yang kuat dalam bunga opsi terdaftar pasca-peristiwa (beta
Machine translation (Meta M2M100); the English original follows.
FLEX options are customized exchange-traded contracts allowing participants to choose nonstandard strikes, expirations, exercise styles, and settlement terms while retaining central clearing. We investigate whether single-name FLEX activity leaves measurable footprints in regular listed-option markets and underlying equities. Using a linked dataset of FLEX consolidations, daily open-interest files, listed-option chains, equity returns, and corporate actions over 250 trading days (March 2025-March 2026) across 41 underlyings and 53 event dates, we document three primary empirical findings: (1) Matched-control difference-in-differences estimates reveal a robust post-event increase in listed-option open interest (beta = 0.3061, p = 0.0042, Benjamini-Hochberg p = 0.0168). (2) FLEX activity is strongly selected into high implied-volatility (IV) environments, concentrated in mid-price underlyings (date-fixed-effect ATM IV premium beta = 0.1235, p = 0.0030). (3) Event-day IV-minus-realized-volatility spreads predict execution-stressed short-straddle returns (beta = 0.0366, p = 0.0100). Short-lived equity return effects (CAR_0 difference of -0.85%, p = 0.0442) do not persist over 1-to-5-day horizons. Overall, FLEX activity serves primarily as an observable marker of institutional volatility demand and open-interest positioning rather than a directional stock-return predictor.
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Topics: FLEX, Equity (law), Business, Volatility (finance), Econometrics, Economics
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