Guo, Yang; Li, Jiasun; Luo, Mei; Wang, Yintian - 2022
This paper conducts a first look into the regulated Bitcoin options market in the United States. Compared to stock … options, bitcoin options tend to be ten times more illiquid as measured by bid-ask spreads. The illiquidity significantly … affects bitcoin options pricing: Given that investors are on average net sellers of bitcoin options, heightened illiquidity is …