Options Trading Costs Are Lower than You Think
研究发现期权价格变化在高频下可预测，交易者通过择时执行订单，实际有效价差比传统估计小40%以上，整体平均有效价差小四分之一，改变了关于期权交易策略税后盈利能力的结论。
Abstract Conventional estimates of the costs of taking liquidity in options markets are large. Nonetheless, options trading volume is high. We resolve this puzzle by showing that options price changes are predictable at high frequency, and many traders time executions by buying (selling) when the option fair value is close to the ask (bid). Effective spreads of traders who time executions are less than 40% of the size of conventional measures, and the overall average effective spread is one-quarter smaller than conventional estimates. Price impact measures are also affected. These findings alter conclusions about the after-cost profitability of options trading strategies.