We investigate how high-frequency trading (HFT) in equity markets affects options market liquidity. We find that increased aggressive HFT activity in the stock market leads to wider bid–ask spreads in the options market through two main channels. First, options market makers’ quotes are exposed to sniping risk from HFTs exploiting put–call parity violations. Second, informed trading in the options market further amplifies the impact of HFT in equity markets on the liquidity of options by simultaneously increasing the options bid–ask spread and intensifying aggressive HFT activity in the underlying market.

中文翻译：

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股票市场的高频交易与期权做市成本


我们研究股票市场的高频交易 (HFT) 如何影响期权市场的流动性。我们发现，股票市场中激进的高频交易活动的增加通过两个主要渠道导致期权市场的买卖价差扩大。首先，期权做市商的报价面临高频交易利用看跌期权平价违规行为的狙击风险。其次，期权市场的知情交易进一步放大了股票市场高频交易对期权流动性的影响，同时增加了期权买卖价差并加剧了基础市场中激进的高频交易活动。