Timeline for Option quotes or trades: Which one is more informative?
Current License: CC BY-SA 4.0
10 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Aug 5, 2019 at 13:07 | vote | accept | alexbougias | ||
| Aug 5, 2019 at 12:52 | answer | added | Fr1 | timeline score: 1 | |
| Aug 5, 2019 at 12:50 | answer | added | Edward Watson | timeline score: 1 | |
| Aug 5, 2019 at 12:24 | history | edited | alexbougias | CC BY-SA 4.0 |
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| Jul 25, 2019 at 11:42 | comment | added | alexbougias | Quotes should denote the best bid and ask, respectively. Actually, the comparison I imply should be done in the same dimension. Depth of the limit order book should not be taken into account. Just Traded Price vs Best Bid/Ask | |
| Jul 25, 2019 at 11:34 | comment | added | Magic is in the chain | Well made statements! I think the differential between the two carries a lot of info as well. Also when you say quotes, there would be like a whole range of them and that itself carries a lot of information. But if we were to make a binary decision- which one is more informative -that would depend on the purpose for which the info is used. | |
| Jul 25, 2019 at 11:25 | comment | added | LazyCat | Your question is perfectly valid for the underlying equity market as well, and I think it will be easier to find some academic research on quote vs trade information content there, since equity data is easier to obtain. | |
| Jul 25, 2019 at 10:06 | comment | added | alexbougias | If I have information of a trade executed at e.g 12:05:45 (hh:mm:ss) and quotes for the same time point, which one should I select? | |
| Jul 25, 2019 at 9:08 | comment | added | nbbo2 | Agreed. Also, often the last known trade will be fairly old, the quote on the other hand will provide current information. | |
| Jul 25, 2019 at 8:44 | history | asked | alexbougias | CC BY-SA 4.0 |