Price impact versus bid–ask spreads in the index option market
研究了期权买卖价差过大的谜题，通过结构向量自回归模型分析期权交易对标的资产价格和波动率的影响，发现经济影响很小，因此价差过大仍是个谜。
We investigate the puzzle of why bid–ask spreads of options are so large by focussing on the price impact component of the spread. We propose a structural vector autoregressive model for trades in the option market to analyze whether they move the underlying price and/or the underlying’s volatility. Our model captures cross-option strategies by pooling order flows across contracts after a decomposition into exposure to the underlying asset and its volatility. While our estimates confirm that S&P500 option trades indeed significantly move the underlying and the volatility, the economic magnitudes are very small. Hence, large bid–ask spreads of options remain a puzzle.