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From your comments I have deciphered that what you actually want to know is what the maximum amount of size is that you can trade at any time. Holding aside exchange irregularities, the answer to this is the total amount of size on one side of the book in the direction that you want to trade (e.g. bid side if you want to sell), at the time that you want to ...


Actually your question englobes many questions. In my opinion, you shouldn't only focus on the total volume you're going to execute on a specific day, but also on how you're going to split it into meta-orders(orders of small amounts) all over the day. You need to have: A model for daily volume (which i think is what are you looking for, then an ...


CFE calculates settlement price from quotes whether there was trading or not. "The daily settlement price for each VIX futures contract will be the average of the final bid and final offer for the VIX futures contract at the close of trading." CFE rule 1202(p) http://cfe.cboe.com/publish/cferulebook/cferulebook.pdf


The settlement price is provided by the exchange, it doesn't contradict with the fact that the contract wasn't traded. It's a theoretical price calculated by the appropriate models. In many cases, especially outside of US where there is no continuous market making, the exchange will provide a settlement price for a futures or options contracts in the end of ...


You must look at passive volumes available on certain levels in orderbook, that feature is called market depth. There is a possibility that daily volume is correlated somehow with depth on market levels around a price, but I think you must gather some data and model that relationship when you want do that in this way.


"does the underlying usually see increased trading?" Not necessarily. Most market makers do not re-hedge much in the underlying. In many markets the delta is exchanged (off-exchange) alongside the options trade at initiation, making both parties delta neutral at the outset. Re-hedges in large vol books are generally accomplished through other options and ...


I would look at the following metrics when quantifying "liquidity" in listed options: bid/offer spread number contracts traded and from that follows notional traded (in the option not underlying) frequency of bid/offer adjustments relative to changes in the underlying delta. frequency of liquidity added/removed on the bid and offer side even when no ...

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