THE IMPACT OF OPTIONS DELISTING ON THE UNDERLYING STOCKS
Bibliographic record
Abstract
This paper examines the effect of options delisting on the variance and the beta of the underlying stock using Canadian data. The contention is that whatever effects options listing have, such effects should reverse when options are delisted, our study provides independent and additional evidence that options listing (and delisting) are volatility-neutral. In particular, this paper investigates if there is a differential response to complete delisting, and limited market listing to some (but not all) exchanges, as part of a reallocation of options trading by the Trans-Canada Options Inc. It also researches the effect of listing limited to smaller versus a larger exchange market. Our results show that, on average, complete delisting of Canadian options reduces trading volume after the delisting event; however, it does not alter the variance or the beta of the underlying stocks. Nevertheless, when options are delisted from some exchanges, the market-adjusted variance increases. This effect can be driven by the reallocations that lead to options trading on a larger exchange. Also, the evidence on listings limited to a smaller exchange is consistent with the “liquidity explanation ” of the volatility effect.
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How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.002 | 0.017 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.001 | 0.001 |
| Science and technology studies | 0.001 | 0.001 |
| Scholarly communication | 0.001 | 0.001 |
| Open science | 0.000 | 0.001 |
| Research integrity | 0.000 | 0.001 |
| Insufficient payload (model declined to judge) | 0.002 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".