Intraday Patterns in the Quoted Spread on the Options Exchange and the Influence of the Limit-Orderbook

Henk Berkman

Revue Économique, 1990, vol. 41, issue 5, 789-798

Abstract: [fre] Intraday Patterns in the Quoted Spread on the Options Exchange and the Influence of the Limit Orderbook. . On se concentre dans cet article sur le role de la concurrence portant sur les ordres à cours limite dans la formation de la fourchette des prix d'options. On analyse l'évolution infra-quotidienne de l'écart cours offert-demande en utilisant comme données la quantité des ordres à cours limite. Il apparait que ce type de compétition entre teneurs de marché est un facteur important de compréhension de la fourchette de prix. [eng] Intraday patterns in the quoted spread on the options exchange and the influence of the limit-orderbook. . In this article we concentrate on the influence of internal competition from orders in the Limit Order Book on the quoted market spread of stock options traded on the European Options Exchange. We analyse the pattern of the quoted market spread during the day and use a unique dataset : intraday data from the book of limitorders. It is shown that the competition from limitorders is an important factor in explaining the market spread.

Date: 1990
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