The Intraday Behavior of Bid-Ask Spreads for NYSE Stocks and CBOE Options
研究活跃交易的CBOE期权及其标的股票的日内买卖价差模式，发现股票呈U型而期权在开盘后急剧下降后趋平，表明做市商竞争与知情交易影响价差行为。
We study the intraday behavior of bid-ask spreads for actively traded CBOE options and for their NYSE-traded underlying stocks. We confirm previous findings that stocks have a U-shaped spread pattern; however, the options display a very different intraday pattern—one that declines sharply after the open, and then levels off. Our results suggest that both the degree of competition in market making and the extent of informed trading are important for understanding the intraday behavior of spreads.