05.01.2015

How Deep Is Your Quote? – BAML

05.01.2015

Despite a highly fragmented options marketplace, the average quote size in the most liquid contracts represent a sizable percentage of the volume traded throughout the day. While volumes tend to pick up later in the day, similar to equities, quote sizes remain relatively constant throughout. The percentage of the realized volume diminishes as traders more actively implement limits while effecting implied volatility.

Continue reading

Advertisement

Related articles