Determinants of Option Spreads In A Multiple Listing Environment
Journal of Business & Leadership
ISSN or ISBN
This study empirically determined the predictors of bid-ask spreads of equity options within the context of the current multiple-listed options market. Price emerged as the most powerful predictor followed by multiple listing. Price and volatility increased spreads, while multiple listing and volume reduced them. Multiple listing was more powerful than volume in explaining spreads. This study establishes that spread reductions prevail several years after initial multiple listing and supports the importance of competition over economies of scale in explaining spreads.
Abraham, Rebecca and Harrington, Jr., Charlie W., "Determinants of Option Spreads In A Multiple Listing Environment" (2006). HCBE Faculty Articles. 847.