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Notices
BS
BRUNO S PERUCHI (not verified)
13th March 2022 | 9:47am

I'm confused. How did you take into account the fact that OTM options have very low prices, usually in the cents?
If the price is $0,10 and bid-ask spread is $0,01, then you have a 10% spread. But that's as low as it gets, no matter how liquid the market is. It seems to me that OTM options will always have a larger % in bid-ask spread than ITM options.

Perhaps a better way to show results would be to display them in cents and not in %.