The Intraday Behavior of Bid-Ask Spreads For Nyse Stocks and Cboe Options

Kalok Chan; Y. Peter Chung; Herb Johnson

doi:10.2307/2331344

The Intraday Behavior of Bid-Ask Spreads For Nyse Stocks and Cboe Options

Kalok Chan, Y. Peter Chung, Herb Johnson

Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

94 Citations (Scopus)

Abstract

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. © 1995, School of Business Administration, University of Washington. All rights reserved.

Original language	English
Pages (from-to)	329-346
Journal	Journal of Financial and Quantitative Analysis
Volume	30
Issue number	3
DOIs	https://doi.org/10.2307/2331344
Publication status	Published - Sept 1995
Externally published	Yes

Bibliographical note

Publication details (e.g. title, author(s), publication statuses and dates) are captured on an “AS IS” and “AS AVAILABLE” basis at the time of record harvesting from the data source. Suggestions for further amendments or supplementary information can be sent to [email protected].

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title = "The Intraday Behavior of Bid-Ask Spreads For Nyse Stocks and Cboe Options",

abstract = "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. {\textcopyright} 1995, School of Business Administration, University of Washington. All rights reserved.",

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N2 - 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. © 1995, School of Business Administration, University of Washington. All rights reserved.

AB - 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. © 1995, School of Business Administration, University of Washington. All rights reserved.

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JF - Journal of Financial and Quantitative Analysis

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The Intraday Behavior of Bid-Ask Spreads For Nyse Stocks and Cboe Options

Abstract

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