Robert Morse
Sponsor
Here is screen shot of the 16.
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A case for SEC: How criminal Market Makers rob the traders
- Thread starter earth_imperator
- Start date
But it has much more consequences/implications: such non-fair prices by the MMs cause bigger B/A spreads, and bigger IVs, and causing a wrong MidPrice, as well cause exaggerated margin requirements, and margin calls causing big losses, just because a MM places impossible (non-fair) prices into the orderbook... And only MMs can do that, not other traders... This is IMO market manipulation.
And: the Bid and Ask from the exchange are practically useless, because one has to re-calculate them to find and extract the fair-prices from these unfair-prices... Of course then also re-compute the IV matching the fair-prices...
I think the rule makers are some clueless non-mathematicians...
The academicians did work hard to find an arbitrage-free pricing model (BSM), but the rule makers are simply pissing on these important achievements and take advantage for themselves with their own such unfair rules.
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Robert Morse
Sponsor
IMO, your beef is with regulators not the MMs. And the customer entering orders needs to take some responsibility for the limits or lack thereof they use. Also, it is best to avoid option strikes with very wide markets. I have an option I trade that I bought at $0.10. Sometimes, that option at the end of the day is $0.00 x $2.50, marking the option at the mid-point of $1.25. If I were short, that mark would sting each day.
If I didn't make this important discovery, then I would continue thinking the Bid and Ask from the orderbook are real... 
You are wasting time and energy. You know fair value, put your order in and if filled,great,if not move on to the next one
If I didn't make this important discovery, then I would continue thinking the Bid and Ask from the orderbook are real...
I don't think I'm wasting my time by analyzing such things others simply ignore, skip, and forget.
I'm documenting them, for the benefit of all.
Yes, of course. But IMO this must not necessarily mean to exclude the other thing; one can do & have both.
There's a very good reason market takers should ignore,skip and forget markets like the one you brought up...
I sincerely doubt you will ever trade at your price,and keep in mind even if you do, how,are you going to unwind?? Hold till expiration and let the chips fall where they may??
How many vol points are you giving up to trade those options??
I sincerely doubt you will ever trade at your price,and keep in mind even if you do, how,are you going to unwind?? Hold till expiration and let the chips fall where they may??
How many vol points are you giving up to trade those options??
I don't think so, b/c when holding till expiration then the factors you mean (volume etc.) become irrelevant.
Yes, holding till expiration. That's how my scanner-algo works.
?? Either you get a fill or not, if not then just forget and try the next on the scanner-output-list.
It's not that simple. It has much bigger implications, even if you don't trade it.
Say for example you are interested in high volatile titles, especially when doing program-trading, then such buggy Bid/Ask/IV cause wrong results in such a list...
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