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Bid-Ask Spreads and Trading Activity in the S&P 100 Index Options Market

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

Abstract

Thomas J. George, Francis A. Longstaff, Bid-Ask Spreads and Trading Activity in the S&P 100 Index Options Market, The Journal of Financial and Quantitative Analysis, Vol. 28, No. 3 (Sep., 1993), pp. 381-397

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References

1985Continuous Auctions and Insider Trading 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders 1988A Theory of Intraday Patterns: Volume and Price Variability 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market 1987Price, trade size, and information in securities markets 1968The Cost of Transacting 1988Estimating the components of the bid/ask spread 1988Liquidity and Market Structure

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2017Illiquidity Premia in the Equity Options Market 2015Order Flow and Expected Option Returns 2012Do option markets undo restrictions on short sales? Evidence from the 2008 short-sale ban 2003Modeling the bid/ask spread: measuring the inventory-holding premium 2009Option strategies: Good deals and margin calls 1995The Intraday Behavior of Bid-Ask Spreads for NYSE Stocks and CBOE Options

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