Skewed bid/ask spread on options before change in the underlying spot price

[ensemble]

This is probably stating the obvious but I am wondering if the microstructure experts could share some insight. Attached is a recent tick chart on a deep OTM SPY put. The bid tends to rapidly drop below the midpoint before a move higher in the underlying, and the ask tends to rapidly rise above the mid before a move lower in the underlying. This is transient and the spread almost instantly reverts to the mean. TWS API doesn't provide data at a sufficiently high resolution to capture the change, so this is only empirical.

 

[stochastix]

Interesting, you might want to take a look at VIX and its derivatives as well when this is happening. VIX is updated every 10 or 15 seconds I believe... how soon does this drop happen before the midpoint? sub-second? sub-10-seconds?

 

[murray t turtle]

This is probably stating the obvious but I am wondering if the microstructure experts could share some insight. Attached is a recent tick chart on a deep OTM SPY put. The bid tends to rapidly drop below the midpoint before a move higher in the underlying, and the ask tends to rapidly rise above the mid before a move lower in the underlying. This is transient and the spread almost instantly reverts to the mean. TWS API doesn't provide data at a sufficiently high resolution to capture the change, so this is only empirical.

%%
WELL since SPY is the liquidity leader, its not just SPY.
SPYG bids dropped abit also before moving higher today/ so i was looking for a good place to take some profits + did.
Same pattern in any market. I told a cash dealer today in metals + related '' we want to sell[move] this so im dropping the bids ''/cash=sold. So it maybe transient/ but its a repeating pattern also in any market. Good question.................................................................................................................. IN FEB or SEPT the bids could have just as easy dropped + bear trended huge all month.
NOT a prediction + not a bet.

 

[ensemble]

Thanks for the replies. This occurs at the millisecond/tick timeframe and the 1s TWS chart (or completed bar) only shows the price after reaching equilibrium. Spot VIX is definitely too slow, but interesting thought to check VIX options or futures.

Here's the same contract from today with the identical pattern...

Looks like I will need to acquire the OPRA data to validate this.