‘Witching day’ price spikes point to options market manipulation – study

Data reveals patterns that can be explained no other way, researchers say

witching day manipulations

Is someone manipulating options markets on expiration days? A controversial new study says the evidence suggests they are.

Researchers have found signs in the settlement pricing of options that point to market manipulation with the potential to cost hedgers billions every year.

Looking at futures data from February 2003 to December 2021, researchers from Robeco, the Chinese University of Hong Kong and Copenhagen Business School identified a price spike in equity index futures in the hours

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