The Skinny on Options: Abstract Applications - March 1, 2021 - Price Impact Velocity

Every tastytrader knows that markets fall faster than they rise - a phenomenon that is supported by the downside volatility skew that persists in equity index products. But interestingly, another reason to support the propensity for markets to fall so quickly could be the speed with which market makers drop their bid prices in falling markets relative to raising their offer prices in rising markets. A price impact analysis of institutional trade data from the internet bubble supports this asymmetry of price change.