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ИД «Финансы и кредит»






Finance and Credit

A pre-predictive analysis of trading volume in the options market

Vol. 27, Iss. 9, SEPTEMBER 2021

Received: 10 May 2021

Received in revised form: 24 May 2021

Accepted: 7 July 2021

Available online: 30 September 2021

Subject Heading: Securities market

JEL Classification: C19, G17

Pages: 1962–1979


Anastasiya O. GOTFRID Peter the Great St. Petersburg Polytechnic University, St. Petersburg, Russian Federation

ORCID id: not available

Lyudmila A. GUZIKOVA Peter the Great St. Petersburg Polytechnic University, St. Petersburg, Russian Federation


Subject. This article examines the relationship between the three indicators of the derivatives market, namely price, trading volume, and open interest.
Objectives. The article aims to characterize the dynamics of option trading volumes in terms of regularity and predictability of changes.
Methods. For the study, we used general scientific methods.
Results. The article substantiates the expediency of using fractal analysis methods to identify the stability of market trends, describes approaches to the classification of options, on the basis of which the range of options traded on the Moscow Exchange is characterized, and conducts a pre-predictive analysis of the time series of trading volume.
Relevance. The results of the study can be useful to persons studying financial markets, market analysts and developers of option contracts.

Keywords: options contract, hedging, speculative operations, option price, trading volume


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ISSN 2311-8709 (Online)
ISSN 2071-4688 (Print)

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Vol. 27, Iss. 9
September 2021