Stats › Options, positions short et positionnement › Option spreads
Option spreads are 34 times wider than equity spreads in relative terms
| Mesure | Mean | Standard deviation | Median |
|---|---|---|---|
| Spread affiché | 10.45 cents | 2.18 | 9.71 |
| Spread effectif | 7.02 cents | 1.45 | 6.58 |
| Price improvement | 3.43 cents | 0.77 | 3.16 |
| Market maker revenue | 2.20 cents | 1.39 | 2.16 |
Single leg equity options on large index constituents across 16 option exchanges, August to December 2020, about 79 million trades in the full sample and 25.88 million in a matched sample against the underlying quote one millisecond before each option trade. The paper's own comparison is 10.45 cents against about one cent for the underlying shares.
The average quoted spread on a single leg equity option is 10.45 cents against about one cent on the underlying share. As a share of price that is 1.21 per cent against 3.55 basis points.
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