Sorry for the rant. I am relatively new to this. I've spent a long time formulating strategies but not much time yet studying executions of orders. I've heard that SPX positions are easy to enter but difficult to get out of when you need to because of the wide spreads, putting you at the mercy of the MM. The volume and open interest seems very low compared to SPY. I am curious though, how common are partial fills on the SPX? I want to avoid those if at all possible. At the same time I don't want to use AON orders since the likelihood of getting filled is slim.
Are there any truly liquid indices for trading options?
- Thread starter darkshogun
- Start date
It sounds like you're "getting in" with options that are ATM or NTM which are the most liquid with tightest bid/ask spreads.
Assuming you're "getting out" when the options are OTM then yes, the bid/ask spreads are wider the further OTM you go, no matter what the underlying instrument is. That's just the nature of the game.
Assuming you're "getting out" when the options are OTM then yes, the bid/ask spreads are wider the further OTM you go, no matter what the underlying instrument is. That's just the nature of the game.
I think the screens in the spx are more opaque at least in short dated and the right price may or may not be mid. If you have a vol parametizer then you can trade "mid" to that but it doesn't necessarily equate to price mid point.
SPY commissions get too expensive for me when I put on 4-leg spreads. I trade more SPX, but usually I have to wait a bit to get filled at the price I want. The problem is when I'm in a rush to hedge/exit or when there's some panic in the market (with wider bid/ask spreads). If I don't want to wait, I have to pay the price by being more flexible on the bid/ask or using SPY to hedge.