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I need to build a Liquidity Risk report at my intern job. There, I consider an MDTV90 (Median Daily Traded Value for 90 days, a measure of liquidity) for each asset we trade to find how many days we spend to sell it (Days to Sell). It is quite easy for equities because historical data is widely known. Although, when talking about options, we have very sparse volume data (they follow kind of a power rule: most of the days have small trade volume, and some days have big trade volume), so the resulting MDTV is not a great value to represent Daily Liquidity

Then, I would like to know how I can compute an MDTV liquidity alternative for Options or fetch uniform volume data for specific options?

Fróis
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  • if you mean U.S. exchange-listed equity options, then some voluma data is readily available. For example, click on https://finance.yahoo.com/quote/IBM/options and look for the "volume" column. If this isn't the data that you're looking for, please clarify your question. – Dimitri Vulis May 09 '23 at 13:25
  • @DimitriVulis yes, this describes data Volume for some Equity Options in general. But I want to deduce specific Volume info for each Option (IBM 23-05-12 C100; IBM 23-05-12 C100 should have different data). Is it viable? – Fróis May 09 '23 at 15:47
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    The volume on Yahoo finance looks to me like figured for very specific underlying (IBM stock), strike, and expiry, – Dimitri Vulis May 09 '23 at 15:50
  • Right, but consider I fetch Yahoo historical volume to compute the ADTV. The volume values are very sparse (they follow kind of a power rule: most of the days have small trade volume, and some days have big trade volume), so the result obtained is not a great value to represent Daily Liquidity. – Fróis May 09 '23 at 18:10
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    Given the revision, this no longer strictly asks for a data source – amdopt May 10 '23 at 13:35

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