Advanced/Professional volatility trading

[quatron]

What are advanced/professional volatility trading software packages? By advanced/professional I mean that you can parametrize models for volatility curves/surfaces, see what options are bid over/offered under. Automatic spread hitting and auto-hedger is something I would like to have too.

I know Orc but it's way too pricey. I know there's Actant and OptionsCity. Expensive too.
What are other options? Is there anything that could be hooked up to Interactive Brokers?

 

[1245]

Quote from quatron:

What are advanced/professional volatility trading software packages? By advanced/professional I mean that you can parametrize models for volatility curves/surfaces, see what options are bid over/offered under. Automatic spread hitting and auto-hedger is something I would like to have too.

I know Orc but it's way too pricey. I know there's Actant and OptionsCity. Expensive too.
What are other options? Is there anything that could be hooked up to Interactive Brokers?

There are NO automated platforms out there that are not expensive. You can add SpiderRock to your list. You get what you pay for.

 

[quatron]

Quote from 1245:

There are NO automated platforms out there that are not expensive. You can add SpiderRock to your list. You get what you pay for.

What should be minimum cost for such solution, roughly? Is it possible to get something working below $1000/month?

Did not know about SpiderRock. Thanks.

 

[1245]

Quote from quatron:

What should be minimum cost for such solution, roughly? Is it possible to get something working below $1000/month?

Did not know about SpiderRock. Thanks.

Nope. Actant is the least expensive because it can be run locally without a co-lo. You just need an Active data feed over the Internet. Actant will run you around $3000/month without a Co-lo. With the Active feed, you get to $3400 to $3500.

Instinet TradeSpeed is excellent for Vol trading but not automated.It also will not auto hedge. You will need an Introducing Broker that has a relationship to them if your small. Instinet only takes large account directly. The platform is free, they just pass on data fees. You can input your own vol curve and interest rates. Produce your own values. The options that have value based on that turn colors for opportunities, but you have to click to trade them. You can also set the vol curve to the NBBO at any time. Very nice platform.

1245

 

[hschwartz]

Hi I worked up a grid of whats out there with as much pricing as I could get. Its here as a google doc. I haven't updated it in about 6mo but it should be a pretty good guide.

https://docs.google.com/spreadsheet/ccc?key=0Av_n-2OrkbNWdHFLU2tudXZyVTl0YXA0alVyQ2pPM3c

comments welcome

 

[FSU]

Quote from hschwartz:

Hi I worked up a grid of whats out there with as much pricing as I could get. Its here as a google doc. I haven't updated it in about 6mo but it should be a pretty good guide.

https://docs.google.com/spreadsheet/ccc?key=0Av_n-2OrkbNWdHFLU2tudXZyVTl0YXA0alVyQ2pPM3c

comments welcome

Very helpful list. I would also add Microhedge.

 

[1245]

I did a demo of SiderRock today. Very nice. If I had a vol. fund with $5m or more, I would consider it. It's a premium product that only makes sence if you have the assets to play, so the monthly cost is not a big deal. Also, it's not great for scalping because of the execution costs. Great for putting on and taking off positions and legging into spreads.

Actant extreme excels with it's scripting. "If you can say it, you can script it." Very configurable.

Option City has a very nice feature. It is the only on platform as far as I know that can connect to the Knight Option dark pool call RFQ. Request For Quote. You can basically trade with their customer option order flow.

All these platform are great. All are a little different.

1245

 

[sle]

Quote from 1245:

I did a demo of SiderRock today. Very nice. If I had a vol. fund with $5m or more, I would consider it. It's a premium product that only makes sence if you have the assets to play, so the monthly cost is not a big deal. Also, it's not great for scalping because of the execution costs. Great for putting on and taking off positions and legging into spreads.

Actant extreme excels with it's scripting. "If you can say it, you can script it." Very configurable.

Option City has a very nice feature. It is the only on platform as far as I know that can connect to the Knight Option dark pool call RFQ. Request For Quote. You can basically trade with their customer option order flow.

All these platform are great. All are a little different.

1245

The reality, of course, is that most volarb funds do not use any of these platforms, these are mainly for AMM-style guys.

 

[quatron]

Quote from sle:

The reality, of course, is that most volarb funds do not use any of these platforms, these are mainly for AMM-style guys.

What's AMM?
If you mean some sort of a Primary Market Maker (PMM) then they are not using these platforms. You can't compete using Orc against any serious MM. Too slow. They still might use it for back office type of stuff.

What's volarb fund?
If you mean someone trading skew and forward vol then I think they are primary users of Orc/Actant/OptionsCity as there's almost no performance requirement.

 

[1245]

Quote from sle:

The reality, of course, is that most volarb funds do not use any of these platforms, these are mainly for AMM-style guys.

I expect most of the larger funds pay brokers like GFI to find liquidity and just pay the fees. I would rather use an electric platform and not have anyone know what I'm doing. When those orders hit the IM, I don't trust that guys seeing the orders are not using it for idea generation.

I agree with you. X- MM would also find the learning curve much faster.