Bollen, Nicolas P; Smith, Tom; Whaley, Robert
In designing a derivative contract, an exchange carefully considers how its attributes affect the expected profits of its members. On November 3, 1997, the Chicago Mercantile Exchange doubled its tick size of its S&P 500 futures contract and halved the denomination, providing a rare opportunity to examine empirically the search for an optimal contract design. This article measures changes in the trading environment that occurred in the days surrounding the contract redesign. We find a...[Show more]
Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.