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Pastimes : Don't Ask Rambi
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To: Rambi who wrote (59583)3/30/2001 7:45:39 PM
From: Kid Rock  Read Replies (2) of 71178
 
Previous research has implicitly assumed, or even suggested, that the relationship between option moneyness and liquidity is quadratic with liquidity maximized for at-the-money options. The nature of the relationship between moneyness and three liquidity proxies for options on the S&P 100 and S&P 500 indexes is real. Using bid-ask spreads,volume, and time between quotes as liquidity proxies, statistical analysis rejects the hypothesis of a simple quadratic relationship between moneyness and liquidity in these markets. While liquidity is maximized near-the-money, liquidity does not decrease symmetrically as option strikes move deeper in-the-money or deeper out-of-the-money.
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