Calculating bid-ask spread

[hlpsg]

Hi, I'm interested to purchase some historical options data but it only has daily closing prices. Will it be possible to derive the theoretical bid-ask spread from just the closing price?

Thanks,
HL

 

[Strategic Trader]

US based options have a minimum spread of either 5c or 10 - dependent on wether they are under or over 3 bucks

but it is difficult to acquire usable options data due to the vast number of options and their illiquidity ( there are private companies with this data - but they would look for millions for it) - so, apart from minimum spreads - it is also imposible to have a verifiable ask bid for options - again due to illiquidity - and the spread is what makes options very very difficult for a non-professional to make money

you may do best ignore any options data you find as it will be close to useless and instead just use the minimum spread and use a formula to calculate the option price from the stock price and then look at live posted option prices and see how it fits the calculation

 

[wisestguy]

no , you cannot . the B/O spread could be anything , from the min. space allowed onwards.

how are you going to trade when you have a full time day job .

 

[Robertral]

no , you cannot . the B/O spread could be anything , from the min. space allowed onwards.

how are you going to trade when you have a full time day job .

Why do you want this info anyway? what size are you looking to trade in? This info is only useful when you are lookign to tarde size via an automated model

 

[hlpsg]

Why do you want this info anyway? what size are you looking to trade in? This info is only useful when you are lookign to tarde size via an automated model

Hi, I need the data for backtesting.

 

[Robertral]

Hi, I need the data for backtesting.

What size are you looking to trade in tho?

 

[hlpsg]

What size are you looking to trade in tho?

Just 1 lot spreads for a start (2 lots per spread).

 

[dewitte]

Hi, I'm interested to purchase some historical options data but it only has daily closing prices. Will it be possible to derive the theoretical bid-ask spread from just the closing price?

Thanks,
HL

For $31.95 a month you can purchase a daily eod options data file (>100,000 symbols, US only) that has bid/ask, including years of history, at www.tbsp.com

The closing price is useless since the bid/ask may have moved away hours or days ago. Of course you need bid/ask for any kind of backtesting or price-based calculations, like implied volatilities; most web services use the b/a average as the option’s “price”. (I prefer the ask, to prevent ITM's below intrinsic value).

 

[hlpsg]

For $31.95 a month you can purchase a daily eod options data file (>100,000 symbols, US only) that has bid/ask, including years of history, at www.tbsp.com

The closing price is useless since the bid/ask may have moved away hours or days ago. Of course you need bid/ask for any kind of backtesting or price-based calculations, like implied volatilities; most web services use the b/a average as the option’s “price”. (I prefer the ask, to prevent ITM's below intrinsic value).

Thanks Dewitte.

 

[Robertral]

Just 1 lot spreads for a start (2 lots per spread).

I can't see what the point of this is for 1 lot....you will get filled straight away with one lot.......if ur model was going to tarde 300 lots then eyah, bid offer u need in there....

The only reason I can see u wanting this for 1 lot is tryign to nick a tick by jumping on the bid or the offer.....but then ur not guarenteed a fill by doing this..

The market is so tight you might aswell assume a 1 tick spread with 100x100 for ATM FTSE sheaaa

I really dont see the point in this extra complexity to ur model with the added cost of obtaining the data.....

 

[hlpsg]

I can't see what the point of this is for 1 lot....you will get filled straight away with one lot.......if ur model was going to tarde 300 lots then eyah, bid offer u need in there....

The only reason I can see u wanting this for 1 lot is tryign to nick a tick by jumping on the bid or the offer.....but then ur not guarenteed a fill by doing this..

The market is so tight you might aswell assume a 1 tick spread with 100x100 for ATM FTSE sheaaa

I really dont see the point in this extra complexity to ur model with the added cost of obtaining the data.....

I see your point, it has given me another idea. Thanks.

 

[wisestguy]

I see your point, it has given me another idea. Thanks.

you still have to get around trading whilst working in the day .

how are you going to get around that ?

the odds are firmly against you if you think you can do both at once successfully.

it's a pipedream