This note examines options expiration effects in the presence of individual stock futures contracts with different settlement methods. It is found that the availability of the futures contracts attenuate the expiration effects on price volatility and trading volume of individual stocks. Also, the stock price tends to move up near expiration days after physical delivery replaces cash settlement. These results provide empirical support to the conjectures made in Corredor et al. (2001).
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Lien et al. (2003) studied this question.
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