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Option liquidity

How cheaply a contract can be entered and exited; judged by spread width, quoted size, open interest and daily volume together, not by any one of them.

A chain can show a tight quote for one contract and nothing behind it. Liquidity is the combination of a narrow bid-ask-spread, real size on both sides, meaningful open-interest and consistent option-volume — and the absence of any one of those is enough to make an exit expensive.

The cost is asymmetric and back-loaded. Entering is voluntary and can wait for a good price; exiting under pressure cannot. Most traders discover a product's true liquidity on the day they most need to leave it.

Example: two XYZ strikes both quote $1.00 bid, $1.10 ask. One shows 200 up with 8,000 open-interest; the other shows 2 up with 40. The first is a market. The second is a screen decoration that will fill you at $0.70 when you need out.

Related: bid-ask-spread, open-interest, option-tick-size, penny-increment-program

See it drawn

Original diagrams for the ideas on this page. Illustrative, not real market data.

Bid-ask spread in an order bookSell orders stacked above buy orders with a gap between the best of each.SELLERS (asks)50.0690050.051,40050.0460050.011,10050.002,30049.99800spread = 0.03BUYERS (bids)
The bid-ask spread. Buy orders sit below, sell orders above, and the gap between the best bid (50.01) and best ask (50.04) is the spread you pay to cross. Bar length shows the size resting at each price.

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