Exploring Our Scraped Options Data Bid-Ask Spreads

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
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