New Options Backtester
Search, filter, and sort 65,769,505 backtests

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).

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.

 

Contact Us
Curious about enterprise pricing? Want to become an affiliate? Questions about our data? Let us know.
Your email
Your message
Submit
ORATSORATS
Institutional Quality Tools for All Options Traders
(312) 986 - 1060
support@orats.com
36 Maplewood Ave, Portsmouth, NH 03801
Trading Tools
APIs
Historical Data
More Information