An option contract that cannot be sold for cash quickly at the prevailing market price. Illiquid options have very low or no open interest.

Most options are illiquid when they are far away from their expiration dates. If you're holding an illiquid option, you will usually notice a very large bid-ask spread on the contract. This is because there are not enough buyers to accommodate those wanting to sell.

Unfortunately, if you are trying to sell an illiquid option, there is a good chance you'll be selling at a discount, if at all.

academic.oup.com [PDF]

… When sorting stocks into quintiles based on this measure of option illiquidity, we find that the … portfolio that goes long the most illiquid contracts and short the least illiquid contracts earns a … Using daily returns, the average risk-adjusted option return spread for at-the-money (ATM …

academic.oup.com [PDF]

… When sorting stocks into quintiles based on this measure of option illiquidity, we find that the … portfolio that goes long the most illiquid contracts and short the least illiquid contracts earns a … Using daily returns, the average risk-adjusted option return spread for at-the-money (ATM …

www.tandfonline.com [PDF]

… When sorting stocks into quintiles based on this measure of option illiquidity, we find that the … portfolio that goes long the most illiquid contracts and short the least illiquid contracts earns a … Using daily returns, the average risk-adjusted option return spread for at-the-money (ATM …

www.sciencedirect.com [PDF]

… When sorting stocks into quintiles based on this measure of option illiquidity, we find that the … portfolio that goes long the most illiquid contracts and short the least illiquid contracts earns a … Using daily returns, the average risk-adjusted option return spread for at-the-money (ATM …

link.springer.com [PDF]

… When sorting stocks into quintiles based on this measure of option illiquidity, we find that the … portfolio that goes long the most illiquid contracts and short the least illiquid contracts earns a … Using daily returns, the average risk-adjusted option return spread for at-the-money (ATM …

academic.oup.com [PDF]

… When sorting stocks into quintiles based on this measure of option illiquidity, we find that the … portfolio that goes long the most illiquid contracts and short the least illiquid contracts earns a … Using daily returns, the average risk-adjusted option return spread for at-the-money (ATM …

papers.ssrn.com [PDF]

… When sorting stocks into quintiles based on this measure of option illiquidity, we find that the … portfolio that goes long the most illiquid contracts and short the least illiquid contracts earns a … Using daily returns, the average risk-adjusted option return spread for at-the-money (ATM …

academic.oup.com [PDF]

… When sorting stocks into quintiles based on this measure of option illiquidity, we find that the … portfolio that goes long the most illiquid contracts and short the least illiquid contracts earns a … Using daily returns, the average risk-adjusted option return spread for at-the-money (ATM …

papers.ssrn.com [PDF]

… When sorting stocks into quintiles based on this measure of option illiquidity, we find that the … portfolio that goes long the most illiquid contracts and short the least illiquid contracts earns a … Using daily returns, the average risk-adjusted option return spread for at-the-money (ATM …

Tags:2015assetassetsbankbankscallcashcompaniescontractcorporatecreditdefaultdefinitionderivativeseconomicsexitfinancefinancialilliquidilliquidityinterestinternationalinvestmentjournalliquidliquiditymarketmarketsmodelsmoneynberoptionoptionspaperpolicyportfoliopricepricingquicklyrealsecuritiessecuritysoldspecificstockstocksstriketradingvaluationvolatility

## Leave a Reply