Anybody trading 100+ SPX options per order

[nitro]

Quote from FT79:

Could you give us more inside regarding trading SPX? I understand if you trade 10 lots or so the SPX is not market to trade but if I trade 100 per leg I'm an average SPX trader (the average contract per trade is around 90 for 2007). will I receive better quotes trading 200 or 300 lots per leg?

It is not that you will receive better or worse quotes as that would be illegal - the quoted price is the same. The difference is that no one will bother with a 10 lot unless they get more edge or you get really lucky, which is why your order will end up in the book and eventually fills when a MM hits your order for lots more edge. If you raise your size to 100, someone may fill you, but it won't be at a better price than if it were a 10 lot or 2000 lot. BTW, 100 is small. The point is, if you send in small orders through a broker like IB, the smaller your size the more on mid or even the other side of mid you have to be to fill with a MM. When you are trading small size, it is sometimes other retail traders you are often trading with.

Why don't IWM, RUT and NDX don't come near SPX? They don't have the liquidity as SPX but if you want market exposure for IT or Small Caps it's a great place to be. Sorry for all the questions but I'm curious about the statements you made.

You answered your own question. Sometime, go down to the CBOE floor, stand next to the IWM/RUT/NDX pit [they are essentialy one pit] and then go to the S pit. It is not even close. The demand is so great for the S, the CBOE was going to swap the S into the OEX pit because the OEX pit is bigger and there is no one in there. For some reason, that was halted.

nitro

 

[FT79]

Quote from nitro:

It is not that you will receive better or worse quotes - the quoted price is the same. The difference is that no one will bother with a 10 lot unless they get more edge, which is why your order will end up in the book and eventually fills when a MM hits your order for lots more edge. If you raise your size to 100, someone may fill you, but it won't be at a better price than the 10 lot. BTW, 100 is small.


You answered your own question. Sometime, go down to the CBOE floor, stand next to the IWM/RUT/NDX pit [they are essentialy one pit] and then go to the S pit. It is not even close. The demand is so great for the S, the CBOE was going to swap the S into the OEX pit because the OEX pit is bigger and there is no one in there. For some reason, that was halted.

nitro

What kind of size is " required " to get descent fills (spreads). I thought 100 lots per leg was ok because it's approx. the average trade size for SPX. Could you give some tips to get a nice executions on SPX? with all the stories I have read it's rather difficult

 

[nitro]

Quote from FT79:

What kind of size is " required " to get descent fills (spreads). I thought 100 lots per leg was ok because it's approx. the average trade size for SPX. Could you give some tips to get a nice executions on SPX? with all the stories I have read it's rather difficult

I can't answer all your questions since I have to get back to work. Seriously, call XFA or Lakeshore, and ask them these questions.

Spreads are probably easier to fill as a retail trader. Study the COB and RFQs.

nitro

 

[xflat2186]

Quote from nitro:

I can't answer all your questions since I have to get back to work. Seriously, call XFA or Lakeshore, and ask them these questions.

Spreads are probably easier to fill as a retail trader. Study the COB and RFQs.

nitro

Just to add to what nitro posted, I do a ton of SPX business with XFA, they’re an excellent group.

IMO, as someone who does a lot of business in the SPX its not really a product for the retail guy, you’re better off using a similar product with electronic access. As was mentioned it’s the last of the really big contracts which is not multi listed. The S and P has a licenses with the CBOE which so far has kept it from being multi listed.

Someone else mentioned things like the Q’s and one other, they’re nice broad market indexes which are much more retail oriented. The ISE surpassed the CBOE in volume a few years back and the PHLX is eating into the CBOE’s number 2 status.

The Q’s were originally a single listed product on the AMEX and that’s when it was fat city to be a MM In the Q’s.

 

[MTE]

Quote from opt789:

I am very familiar with trading SPX options, both small and very large orders. Brokers like IB and TOS will not let you talk to a broker in the pit, they will take your order and then call their broker who will get a market. The SPX is one of the few remaining monopolies and the market makers exploit it to no end. They will steal your money if you let them, and they will laugh at you afterwards (I used to be a market maker so I don't have a problem telling the truth about them). Virtually all of the people on this board have no idea what will happen in a real fast market, I can assure you that if one eventually does happen again you will get a fill so bad you will want to sue, but you would lose so don't bother.

The suggestion of making the order as delta neutral as possible is a very good one, then when you get a market of 1 bid at 2 you can leave your 1.75 bid in and wait to see if you can get filled. Remember that the SPX market makers are your enemy and they have a complete and total monopoly that they wield without any compassion.

If you are a large serious player you can get a broker to work your order as best he can but you have to pay extra, and the bottom line is the market makers are going to do whatever they want anyway.

For what it's worth, I switched from SPX options to ES options because I became so fed up with the SPX guys. ES options have become much better than they used to be - my gratitude to Atticus for pointing that out to me some time ago. ES options are .50 cents wide all day for at the money while the SPX is 2 dollars wide, which is better for you?

The only useful thing left about SPX options is you can sit and watch small retail orders languish out there while the market makers lean on them, and then pick them off before they do.

If I haven't talked you out of SPX options by now, I have some beautiful swamp land I would like to sell you.

ES is $25 per point, while SPX is $100 so a spread of 0.50 in ES is the same as the spread of 2.00 in SPX.

 

[jeb9999]

Quote from MTE:

ES is $25 per point, while SPX is $100 so a spread of 0.50 in ES is the same as the spread of 2.00 in SPX.

ES is $50 a point, but the dollar value per point does not matter.

A 15.75/16.25 spread is always better than a 15.00/17.00 spread.

 

[MTE]

Quote from jeb9999:

ES is $50 a point, but the dollar value per point does not matter.

A 15.75/16.25 spread is always better than a 15.00/17.00 spread.

Right, 50, sorry.

 

[blackjack007]

who trades at bid/ask anyway? enter a limit order somewhere in between and you'll get a fill.

the best product depends on your trading strategy. you should try all of them (spx, spy and es) and see what's best for you. obviously if spy & es were the end-all, then spx wouldn't be around but it's still here and i believe it's still the top option in dollar volume in the u.s.

 

[jeb9999]

Quote from blackjack007:

who trades at bid/ask anyway? enter a limit order somewhere in between and you'll get a fill.

the best product depends on your trading strategy. you should try all of them (spx, spy and es) and see what's best for you. obviously if spy & es were the end-all, then spx wouldn't be around but it's still here and i believe it's still the top option in dollar volume in the u.s.

You won't get a fill on your limit order until the market moves against you and the market makers can make a profit.

 

[xflat2186]

Quote from jeb9999:

You won't get a fill on your limit order until the market moves against you and the market makers can make a profit.

Thats the basic premis in options market making no matter what the product. Naturally in the SPX its looser since its a single listed product.

No market maker in any product is looking to just trade for fair value.