A question regarding with option volume

[Northbridge2020]

Hi all,
I am wondering up to how many Spx spread contractors can be quickly filled?
Let’s see I trade spx call spread weekly option that will expire in two days, strike is close to current spx value. Would 200-500 contracts be filled quickly pls?
Thanks

 

[guru]

It doesn't really matter, because if you want to trade that many spreads then simply try this and check how many will go through. Will something bad happen if you get some of them but not all of them filled "quickly"?
Nobody really decides "I must buy 50 spreads but if I can only buy 40 then I will not be trading". And nobody trades the same spreads at the same time and at the same price that you want to trade, so only you can answer such question and tell everyone else what you have found.

 

[Robert Morse]

The volume is not a problem in liquid symbols like SPX but the price matters more. A market maker will only trade with you at that time and price if they see an advantage to their values. In fact, they prefer a larger size.

Hi all,
I am wondering up to how many Spx spread contractors can be quickly filled?
Let’s see I trade spx call spread weekly option that will expire in two days, strike is close to current spx value. Would 200-500 contracts be filled quickly pls?
Thanks

 

[guru]

So basically if you don't want to lose money then your orders won't get filled, but if you want to lose money then they'll get filled instantly

 

[Northbridge2020]

So basically if you don't want to lose money then your orders won't get filled, but if you want to lose money then they'll get filled instantly

Thanks. My question is actually more related with spx option liquidity. From recent ADV it looks like most of active calls and puts ADV is around 20k. I am curious how did those large orders get filled.

 

[Atikon]

Thanks. My question is actually more related with spx option liquidity. From recent ADV it looks like most of active calls and puts ADV is around 20k. I am curious how did those large orders get filled.

You can calculate with 20% worse than bid fill if you put in a market order

 

[guru]

Thanks. My question is actually more related with spx option liquidity. From recent ADV it looks like most of active calls and puts ADV is around 20k. I am curious how did those large orders get filled.

Why wouldn't they get filled? If people want to trade then they'll trade. Otherwise what's the point of trading? While to get more insight about what spread orders are out there and which ones get filled, look at the spread books. You'll see many resting orders waiting to get filled, whether traders trying to scalp, get a decent deal, or waiting for the price to "come to them".
Right now the market just closed so I can't get accurate view of today's orders and fills on SPX, but SPY shows 15000 filled orders on various spreads today (each):

SPX also shows some large remaining open orders, just at TDA:

 

[guru]

Actually Time & Sales for SPX, does show thousands upon thousands of SPX options traded/filled just in the last 20 minutes of the market hours today, many of them likely traded as various spreads:

 

[Northbridge2020]

Actually Time & Sales for SPX, does show thousands upon thousands of SPX options traded/filled just in the last 20 minutes of the market hours today, many of them likely traded as various spreads:

View attachment 230998

This is very helpful! Thanks a lot. Looks like 500 SPX contracts really is a very common trade.

 

[cynthiavasquez]

The options volume refers to the number of trades completed each day. It will give you the measure of strength and interest in a particular trade.