Is there any tool for graphing option spread bid/ask prices over time, with several years' history? If not, how much would you pay for such a tool if I built it myself?
Just curious, why would I care about the spread between the bid/ask over several years of history? Not trying to be sarcastic but what does that information do for you to trade? Also the spread is different whether it is ATM options or far OTM or if you are talking about front month versus 6 months out. Just do not see any useful trading information here.
Easy fix that also takes two minutes. Open an excel spreadsheet, create a macro for put/call parity. Download the prices that are liquid and and price the corresponding synthetic. Problem solved.
If illiquid, why would anyone be foolish enough to trade them? Illiquid to me means outrageous risk. I don't see any value of having graph this either. If you looking to produce something that is not around, charting of intraday option spreads or Commodity spreads, most traders don't have these I don't believe.
here's some daily commodity spread info http://bit.ly/1eJFJV6 anymore stats I can add if someone wants To the OP if your tool provides the data maybe its useful to someone. Maybe you can partner with a data provider and create visuals. subscriptions
I 'd like a tool that notifies me when the bid/ask option spread is .02 or less on my predetermined watch list. I trade on the TMX (CDN), so finding tight b/a spreads is gold.
You guys focusing on the b/a spread...even for products that have spreads .03 apart, you can often place an order inside and see if you get filled.