Anybody trading 100+ SPX options per order

Quote from funrettig:

Okay. I just saw this thread. I've MM'd many indices in europe and usa for my firm (SPX/RUT/DAX/IWM/SPY included). XFA is a good brokerage to work your SPX orders. Don't really need to look for anyone else. If I had to choose US index product for some "income generating" trades, it would for sure be SPX/RUT. No others. SPY/IWM have too high trading costs. For iron condors - SPX might give .05 cents better fills than RUT). But for the rest of the spreads (assume near delta neutral), relatively the exact same. For the RUT however, in a fast mkt, you will be able to get out for a better price (SPX is pit traded, when the floor goes crazy, your 100x lot will mean shit)

RUT, don't use a broker for your size. You get better fills electronic. Either through CBOE or ISE electronic spread entry.

It seems that you are "managing" these positions, so I would go with the RUT for the safety factor (allows for a lower adjustment cost when markets really move).

Let me know if you have any more questions.
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Do you know of any non-U.S. options that offer book priority to customers?

The RUT seems to go a penny ahead of my bids and offers much more than they did in the past. What causes this?
Who sees these penny denominated bids and offers? I don't. I'm locked into nickel trading like most others in the RUT.
 
Quote from wilburbear:

The RUT seems to go a penny ahead of my bids and offers much more than they did in the past. What causes this?
Who sees these penny denominated bids and offers? I don't. I'm locked into nickel trading like most others in the RUT.
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You most likely are seeing one leg of a spread (spreads can trade at penny increments). There is PIM (price improve mechanism) on some exchanges (like the ISE) but that really hasn't caught on. My guess is spreads!
 
Quote from funrettig:

You most likely are seeing one leg of a spread (spreads can trade at penny increments). There is PIM (price improve mechanism) on some exchanges (like the ISE) but that really hasn't caught on. My guess is spreads!
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Yes, I'm pennied in the RUT most often on the ISE. For those penny trades that are not due to a spread, the PIM must be responsible.

Can only market-makers see PIM bids and asks?
 
Quote from DutchMan:

Any idea when SPX could goes electronic? Do you know what is interesting. In Europe all index options are single listed but the spreads are much lower compared with the US. The DJ EuroStoxx50 and DAX are the biggest products in Europe and it’s more than normal to get executed at midpoint or around midpoint (max. 5 cents from midpoint). It doesn’t matter if you trading outright, 2 leg or 3 leg spreads. Currently trading around 50 / 100 per leg and getting executed around midpoint is easy in Europe, you don’t even need to work your order. Competition between Market Makers is huge.
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I've traded DAX and OESX options like you (I'm from Spain) and I'm working ES options now.

You can achieve nice trades in Globex ES options too, in an electronic environment. I think this is better from your european perspective.

My question is about how do you think to edge your currency risk.

Thanks in advance.
 
Quote from funrettig:

Okay. I just saw this thread. I've MM'd many indices in europe and usa for my firm (SPX/RUT/DAX/IWM/SPY included). XFA is a good brokerage to work your SPX orders. Don't really need to look for anyone else. If I had to choose US index product for some "income generating" trades, it would for sure be SPX/RUT. No others. SPY/IWM have too high trading costs. For iron condors - SPX might give .05 cents better fills than RUT). But for the rest of the spreads (assume near delta neutral), relatively the exact same. For the RUT however, in a fast mkt, you will be able to get out for a better price (SPX is pit traded, when the floor goes crazy, your 100x lot will mean shit)

RUT, don't use a broker for your size. You get better fills electronic. Either through CBOE or ISE electronic spread entry.

It seems that you are "managing" these positions, so I would go with the RUT for the safety factor (allows for a lower adjustment cost when markets really move).

Let me know if you have any more questions.
More...

I have been watching RUT for approx. 2 months and a little bit of trading to get an idea of the execution quality. The execution quality is great (Butterflies being executed around midpoint) but if I look at the volume you’ll see a lot of Iron Condor Traders trading this vehicle. For example, when just one week to go for the front month I see a lot of volume in the OTM calls and puts in the 2nd month (around 1x standard deviation). Is this true? Besides SPX I will also trade RUT (electronically) for more of my speculative part of my option portfolio. RUT has relative high volumes if you compare it with SPX so imo it is a market you can’t ignore when trading US markets.
 
Quote from sugar:

I've traded DAX and OESX options like you (I'm from Spain) and I'm working ES options now.

You can achieve nice trades in Globex ES options too, in an electronic environment. I think this is better from your european perspective.

My question is about how do you think to edge your currency risk.

Thanks in advance.
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I don't. I have a EUR account and able to trade USD dominated products without switching EUR in to USD. Every month Profits or Losses in USD will be transformed back to EUR.
 
I have noticed that no one here has referred to NDX. I have found that it is fairly easy to filled at 5-10 cents off the mid. I don't have too much problem getting executed within a few minutes, usually less than 2, and I usually do between 5 and 10 contracts at a time. I don't think there would be much problem doing more contracts since volumes are usually pretty decent. I'm interested in how others have been doing with SPX and NDX. It seems to me that the SPX spreads are too wide for my taste.
 
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.
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i always get filled in between b & a.

if i set the limit price aggressively, it takes a while for a fill and the market has to move toward the limit price, but if it's set conservatively it fills very quickly and the market doesn't have to move against me. i've never placed a market order or a limit order at the b/a, always somewhere in between.
 
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