Chan, Kalok; Chung, Y. Peter; Johnson, Herb - In: Journal of Financial and Quantitative Analysis 30 (1995) 03, pp. 329-346
We study the intraday behavior of bid-ask spreads for actively traded CBOE options and for their NYSE-traded underlying stocks. We confirm previous findings that stocks have a U-shaped spread pattern; however, the options display a very different intraday pattern—one that declines sharply...