Exploring Our Scraped Options Data Bid-Ask Spreads
/Post Outline
- The Objective
- The Data
- Basic Data Analysis
- Bid-Ask Spread Analysis
- How Do Aggregate Bid-Ask Spreads Vary with Days To Expiration?
- How Do Bid-Ask Spreads Vary with Volume?
- How Do Bid-Ask Spreads Vary with Volatility?
- Summary Conclusions