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Statistikk › Opsjoner, shorts og posisjonering › Option spreads

Option spreads are 34 times wider than equity spreads in relative terms

MålMeanStandard deviationMedian
Kvotert spread10.45 cents2.189.71
Effektiv spread7.02 cents1.456.58
Price improvement3.43 cents0.773.16
Market maker revenue2.20 cents1.392.16

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.

10.45 centsAverage quoted spread, options
7.02 centsAverage effective spread
3.43 cents, 0.79% of the option priceAverage price improvement
2.20 cents, 0.25% of the option priceMarket maker revenue after hedging

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