In view of the recent discussion it might be interesting to have a look at
some real-time real-life liquidity figures of QQQ options; this option
market is alive and reasonably liquid.
With QQQ at 42, the July 46 call (4 strikes out-of-the-money) has a B/A
spread (slippage) of 1 tick, and a market depth of more than 7000 contracts
on each side of the market. Let us compare this now with the dreaded
in-the-money options.
The 38 calls (4 strikes deep in-the-money) show a market depth of more than
5000 on each side, with a B/A spread of only two ticks. Not bad at all. But
now how about an option that would be as many as 10 strikes deep
in-the-money? Surely the illiquidity and slippage must be gruesome?
Not so. Though the B/A spread has widened to 4 ticks (still quite
acceptable), market depth for the July 32 call (10 strikes deep
in-the-money) is again more than 5000 contracts on each side.
Please find attached the real-time depth charts for these options.
Michael Suesserott
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