Statistiche › Opzioni, short e posizionamento › Option spreads
Option spreads are 34 times wider than equity spreads in relative terms
| Misura | Mean | Standard deviation | Median |
|---|---|---|---|
| Spread quotato | 10.45 cents | 2.18 | 9.71 |
| Spread effettivo | 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.
Solo per membri
Il resto di questa pagina è per i membri
Below this point there are 5 sections, 1 table and 2 named sources, roughly 600 words of it. Every figure carries the source it came from and the date the data is from.
Puoi continuare a consultare gratuitamente ogni statistica della libreria. L'introduzione e il riepilogo sono sempre accessibili.