ORATS data supported the article, Investors’ New Headache: It’s Getting Harder to Buy or Sell When They Want in the Wall Street Journal today.
Using our snapshot data that is captured every 2 minutes, ORATS developed the following graphics showing how the quoted size on the bid and ask prices for average options have changed over the years.
Size on the Bid-Ask Already Much Lower Than Recent Years
Worse This Time
The liquidity diminished in after the Feb 5th meltdown worse than the Aug 2015 crash. Both had similar down moves in price and high daily volatilities, but the options market width went up 102% for the Feb '18 (vs 48% in Aug 2015) and the size on the bid ask decreased 28% in Feb (vs 18% in Aug '15).
Contact us to access the 2 minute snapshot data via an SQL interface.