Coming back to Aus trading, I have come to the point of sorting out liquid option series.
This involved the labourious process of finding the total open interest in each of the option series as the quick and dirty guide to option liquidity.
FYI these are the series with OI > 20,000
Firstly, any of you option traders have further comments to this list? Any symbols that should be scrapped for reasons that are not obvious etc?
Secondly, I have noticed something serious. Most of the OI is in the OTM options, with almost zero OI in the ITM options of the less liquid series.
What is that? Doesn't anyone trade ITM options? It is no wonder most expire worthless.
I'm used to heaps of liquidity and OI right down, way deep into the money. Any comments here?