I'm hoping someone who has experience trading options with IB may be able to help... I'd like to buy straddles on x number of underlyings and sell straddles on x different underlyings. I'm indifferent between the natural vs. synthetic, although I would like to stay away from the synthetic where I would have to short stock. No effort is being made to construct the basket perfectly delta or vega neutral (beta weighted or otherwise), so the basket mark will swing around a bit...however, ideally i would like to be able to price it once and have a credit/debit for the whole thing that I would trade at, say for the next 15 mins or so. My level would be somewhere between paying full bid/ask and getting done at mids. From what I can tell, it's not possible to execute more than a two legged combo order through IB that isn't native on an exchange. Curious if anyone has a creative way of this type of trade off as a basket?
If the above isn't possible, I do have a max/min IV that I will trade each straddle at...but I'd rather not spend all day working each one individually, only to find out that pricing on the basket has moved and I have two thirds of a trade on. If anyone has ideas on how to approach this, I'd appreciate it. Thanks.
If the above isn't possible, I do have a max/min IV that I will trade each straddle at...but I'd rather not spend all day working each one individually, only to find out that pricing on the basket has moved and I have two thirds of a trade on. If anyone has ideas on how to approach this, I'd appreciate it. Thanks.
