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Showing 1 to 1 of 1 for “"option depth"”.
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Patterns and Determinants of the Intraday Bid-Ask Spread and Depth of CBOE Equity Options
This paper analyzes the intraday variation of option bid-ask spreads. We find an L-shaped spread pattern for options confirming the findings of Chan et al. (1995), a reverse U-shaped pattern for option depth, and a reverse S-shaped pattern for the underlying stock spread. In addition, we use …