MH: Bid ask spreads widen when the MMs believe that people they trade with have an increased advantage over them in terms of accurate information. Empirically, you see this, for example, for major corporations in the following way--right before the earnings announcements the spreads increase noticeably (the MMs know that some people at that point likely have a great deal of valuable info. about the company that is not public, as opposed to at other times).
Another empirical manifestation of this is that highly volatile stocks (if we look across stocks) will have a larger spread. So to, if the volatility of a stock increases during a time period, the norm is that the spread increases.
Edig has recently been quite volatile.
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