How Option Bid and Ask Quotes Differ from Trading Volume

Summary

The document explains how to interpret bid and ask quotes in an options dataset when reported volume is zero and implied volatility and delta are missing. The bid is the highest price a buyer currently offers, while the ask is the lowest price a seller currently accepts. These quotes can exist without a completed trade: orders may be resting in the book even when buyers and sellers have not agreed on a price.

A second answer cautions that the dataset’s abbreviated volume field may mean option trading volume rather than open interest, and notes that zero volume is more plausible than zero open interest in this context. The document offers no dataset documentation or independent confirmation of the field definition, so users should verify it with the data provider. It also does not establish why the Greeks are blank; lack of trading alone does not determine whether a vendor calculates them.

Key ideas

• The bid is the highest current price offered by an option buyer.
• The ask is the lowest current price requested by an option seller.
• Bid and ask quotes may be present even when no transaction has occurred.
• The volume field may represent trading volume rather than open interest, so its definition should be checked with the data provider.

Tags

# What does this options' data mean?


# What does this options' data mean?












I've got myself some data on SPX optons which looks like this:

```
date,exdate,cp_flag,strike_price,best_bid,best_offer,opp_volume,impl_volatility,delta
04-01-1996,16-03-1996,C,635000,5.25,5.75,250,0.100572,0.318471
04-01-1996,16-03-1996,C,400000,216.5,217.5,0,,
```

I guess, `opp_volume` stands for open interest.

My question regards the rows where `opp_volume` is 0. Those rows don't have delta and IV calculated for them. Well, that's reasonable: no trade - no delta and IV.

But what do best bid/ask prices stand for?

## Answer by SRKX (score 2)

https://quant.stackexchange.com/a/24855

Best bid is the highest price somebody is willing to pay to buy the option.

Best off is the lowest price somebody is willing to accept to sell the option.

Even if there is no trade, there may very well be limit orders in the order book: there is a potential market but offer and demand are still too far away from each other for trades to happen.

## Answer by onlyvix.blogspot.com (score 2)

https://quant.stackexchange.com/a/24871

opp_volume is probably option volume (not sure why it would be shortened to opp with extra p), not open interest. Volume is also more likely to be zero than open interest. The rest is like @SRKX wrote.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.