Market Events
Friday, July 5th 2019
Accessing the Data Supporting the Wall Street Journal Options Liquidity Article
Accessing the Data Supporting the Wall Street Journal Options Liquidity Article
Summary
ORATS data supported the Wall Street Journal article "Investors' New Headache: It's Getting Harder to Buy or Sell When They Want", showing how the quoted size on the bid and ask prices for average options have changed over the years. The liquidity diminished after the Feb 5th meltdown worse than the Aug 2015 crash, with the options market width going up 102% for the Feb '18 and the size on the bid ask decreasing 28% in Feb (vs 18% in Aug '15).
ORATS data supported the article, Investors’ New Headache: It’s Getting Harder to Buy or Sell When They Want in the Wall Street Journal today.
Using our snapshot data that is captured every 2 minutes, ORATS developed the following graphics showing how the quoted size on the bid and ask prices for average options have changed over the years.
Size on the Bid-Ask Already Much Lower Than Recent Years

Worse This Time
The liquidity diminished in after the Feb 5th meltdown worse than the Aug 2015 crash. Both had similar down moves in price and high daily volatilities, but the options market width went up 102% for the Feb '18 (vs 48% in Aug 2015) and the size on the bid ask decreased 28% in Feb (vs 18% in Aug '15).

Contact us to access the 2 minute snapshot data via an AWS S3 bucket.
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