Liquidity of the CBOE Equity Options
研究CBOE期权市场的深度和买卖价差，发现大额期权交易无价格影响表明市场深度好，但期权与股票价差相近，通过市场机制差异解释这一权衡，并发现期权价差中的逆向选择成分很小。
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.