Journal article
Liquidity of the CBOE Equity Options
The Journal of finance (New York), Vol.45(4), pp.1157-1179
09/1990
DOI: 10.1111/j.1540-6261.1990.tb02431.x
Abstract
We examine the CBOE option market depth and bid-ask spreads. Absence of price effects surrounding large option trades suggests excellent market depth. However, bid-ask spreads for the CBOE options and the NYSE stocks are nearly equal, even though an average option is equivalent to less than half a stock plus borrowing. We explain this tradeoff between market depth and bid-ask spreads on the CBOE and the NYSE by differences in market mechanisms. We also show that the adverse-selection component of the option spread, which measures the extent of information-related trading on the CBOE, is very small.
Details
- Title: Subtitle
- Liquidity of the CBOE Equity Options
- Creators
- Anand M. Vijh
- Resource Type
- Journal article
- Publication Details
- The Journal of finance (New York), Vol.45(4), pp.1157-1179
- Publisher
- American Finance Association
- DOI
- 10.1111/j.1540-6261.1990.tb02431.x
- ISSN
- 0022-1082
- eISSN
- 1540-6261
- Language
- English
- Date published
- 09/1990
- Academic Unit
- Finance
- Record Identifier
- 9984380394902771
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