Tagged Questions
3
votes
1answer
105 views
how to define liquidity in equity, index, and etf options
i've heard several ways to put a metric on liquidity of options.. obviously liquidity isn't a constant.. things like the Bid/Asks spread, liquidity of the underlying.. Trying to find a way to ...
10
votes
5answers
446 views
Is it ever possible that---because of illiquidity---exercising an out-of-the-money option is better than directly buying the stock?
Is there a case, where due to illiquidity, exercising out-of-the-money options could be better than directly buying the stock?
When a stock is too illiquid, there are some costs because of this ...
5
votes
1answer
174 views
Modeling liquidity effect on option prices
What are practically useful ways of modelling the effect of liquidity on options?
6
votes
1answer
304 views
How do you calculate the implied liquidity of an option?
How does one calculate the implied liquidity of a specific option contract given a set of vanilla puts and calls with various strikes and maturities on a single underlying?
