Spread checks
Bid Ask Spread in Options Backtesting
The bid/ask spread is the first execution tax an options backtest has to survive.
Use bid/ask spread as a liquidity gate and as a fill-cost input. Wide spreads should reduce position eligibility or force worse modeled fills.
Spread is a data-quality signal
A contract can have volume and still be expensive to cross. Spread percent over midpoint is a simple way to compare contracts with different premiums.
Spread is an execution input
If a strategy buys near the ask and sells near the bid, the spread is paid twice. Backtests that ignore this can overstate Sharpe and understate drawdown.
What to store
Store bid, ask, midpoint, quote timestamp, quote size, trade prints, expiration, strike, and contract type with every modeled entry and exit.
Quote vs Trade Timeline
Bid, ask, midpoint, and prints show why last price alone is fragile.
Bid/Ask Spread by Strike
Lower bars usually produce more defensible fill assumptions.
Related tools and docs
Backtest Realism Checker
Score contract, quote, trade, and spread assumptions before trusting a backtest.
Options Slippage Calculator
Translate bid/ask assumptions into dollar drag and breakeven movement.
Options Liquidity Scanner
Rank contracts by spread, volume, open interest, IV, and quote context.
Put/Call Ratio Dashboard
Track the current market put/call ratio beside weekly history across the last few years.
Options Chain Visualizer
Inspect heatmaps, IV smile, spread by strike, and volume versus open interest.
Options data API
See the full API surface behind these tools.
Historical options data API
Use contracts, quotes, trades, and aggregates for research workflows.
Options backtesting API
Plan historical contract and quote-aware fill sequences.