@article{Shah:142355,
      recid = {142355},
      author = {Shah, Samarth and Brorsen, B. Wade and Anderson, Kim B.},
      title = {Effective Bid-Ask Spreads in Futures versus Futures  Options},
      journal = {Journal of Agricultural and Resource Economics},
      address = {2012},
      number = {1835-2016-149372},
      pages = {14},
      year = {2012},
      abstract = {While considerable research has estimated liquidity costs  of futures trading, little comparable
research is available  about options markets. This study determines effective  bid-ask spreads in
options and futures markets for Kansas  City Board of Trade (KCBT) wheat. Effective bid-ask
spreads  are estimates of the actual liquidity cost of a round-trip  order. Option liquidity costs
are estimated using a new  measure of effective spreads developed for options markets.  Futures
effective spreads are estimated using eight  different measures developed in previous studies.
Estimated  effective bid-ask spreads of options contracts are at least  double the effective bid-ask
spreads of open-outcry futures  contracts.},
      url = {http://ageconsearch.umn.edu/record/142355},
      doi = {https://doi.org/10.22004/ag.econ.142355},
}