Option bid-ask spread
An option's bid-ask spread is the gap between the best price at which it can be sold and the best price at which it can be bought. Measured in cents, in percent of the midpoint or in volatility points, it is a direct cost for traders and a source of uncertainty in every quantity derived from option prices, from implied volatility to trade-side labels.
Senzoukria · Glossary · Updated September 2026
At a glance
- Absolute spread
- Ask − bid
- Relative spread
- (Ask − bid) / midpoint
- In volatility points
- ≈ (Ask − bid) / vega per point
Three ways to measure it
The absolute spread is the difference in price. Because option prices range from a few cents to hundreds of dollars, the relative spread, divided by the midpoint, compares contracts better. Options traders also express spreads in implied volatility: dividing the price spread by vega gives the number of volatility points between the implied volatility at the bid and at the ask, which is how wide the market's disagreement about volatility is on that contract.
Worked example
A 30-day at-the-money option quoted 1.20 bid, 1.30 ask has a 0.10 spread around a 1.25 midpoint, 8% of the midpoint. With a vega of 0.114 per volatility point, the bid and ask imply volatilities about 0.9 point apart. A buyer at the ask and a seller at the bid lose 0.05 each against the midpoint, 5 dollars per contract with a multiplier of 100, before commissions.
Where spreads widen
- Far out-of-the-money and deep in-the-money strikes, where few participants quote.
- Long-dated series, whose large vega makes a given volatility disagreement cost more in price.
- Around the open, before scheduled news and in fast markets, when market makers widen quotes to protect themselves.
- Contracts with a very low price: a one-cent tick on a five-cent option is already a 20% spread.
Consequences for derived data, and in Senzoukria
Implied volatility depends on which price is used: bid, ask, midpoint or last. A wide spread means a wide range of defensible volatilities, and therefore of greeks and exposure figures built on them. Trade-side labels also depend on the spread: prints between bid and ask cannot be attributed to a buyer or a seller. Senzoukria's Option Flow labels those prints MID and excludes them from its directional measures. On the Databento path of the GEX module, the app solves implied volatility from the midpoint of bid and ask, or from the one side quoted when the other is missing.
Related
In the same section
- Option chain
- Optimal f
- Contract multiplier
- OPRA
- Option delta
- Opening vs closing
- Exercise and assignment
- Opening range
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Frequently asked questions
- Is a mid-price fill realistic for options?
- Sometimes, with patient limit orders on liquid contracts, but not guaranteed. Market makers adjust quotes continuously, and on wide markets a fill at the midpoint may never come. Backtests that assume midpoint fills overstate results.
- Why use the midpoint to compute implied volatility?
- Because the last trade may be old and the bid or ask alone is biased in one direction. The midpoint is a neutral estimate of the price at the moment of calculation, although on a wide market it is still only an estimate.