00000nam 2200000za 4500 9.830105 CaOODSP 20221107145444 cr ||||||||||| 170106s2016 onc |o f|0| 0 eng d CaOODSP eng n-cn--- FB3-5/2016-57E-PDF Chin, Faith. Options decimalization [electronic resource] / by Faith Chin and Corey Garriott. [Ottawa] : Bank of Canada, 2016. ii, 31 p. : figures. Staff working paper, 1701-9397 ; 2016-57 "December 2016." Includes bibliographic references. We document the outcome of an options decimalization pilot on Canada’s derivatives exchange. Decimalization improves measures of liquidity and price efficiency. The impact differs by the moneyness of an option and is greatest for out-of-the-money options. In contrast with equity studies, decimalization improved depth near the best prices and improved liquidity for larger trades. We conclude with advice on decimalizing options: options that benefit most have underlying volatility less than 40, underlying equity bid-ask spread less than 50 basis points, at least one trade a day, and a distribution of depth skewed toward marketable prices. gccst Capital markets gccst Regulation Garriott, Corey. Bank of Canada. Staff working paper (Bank of Canada) 1701-9397 ; 2016-57 (CaOODSP)9.806221 PDF 968 KB https://publications.gc.ca/collections/collection_2017/banque-bank-canada/FB3-5-2016-57-eng.pdf