Many independent studies on stocks and futures contracts have established that market impact is proportional to the square-root of the executed volume. Is market impact quantitatively similar for option markets as well? In order to answer this question, we have analyzed the impact of a large proprietary data set of option trades. We find that the square-root law indeed holds in that case. This finding supports the argument for a universal underlying mechanism.
@article{arxiv.1602.03043,
title = {The square-root impact law also holds for option markets},
author = {Bence Toth and Zoltan Eisler and Jean-Philippe Bouchaud},
journal= {arXiv preprint arXiv:1602.03043},
year = {2016}
}