bid ask price jumps as soon as you place your trade.. huh?

D

darwin666

hey.. i have seen this too often. so please chime in here. if you have seen similiar

example good ole SPY>. most liquid traded options.. yesterday . the 181.5 call. OTM. weekly expiring .

the bid ask was 4-5 cent..
I placed a limit sell 50 qty for 4 cent.. as soon as i hit the send, it didnot execute mine. and changed it to 3-4 cent..
in another varioaton of this.. when I place the order as mkt. ie. sell 50 at mkt.. assuming I will get 4 cent... it executes at 3.!!. and now shows 3 -4.. i bet you, if I hadplaced a market buy at 5 cent.. it probably would jump the other way to 5-6 and execute at 6 .. ha ha..
now we all know. SPY moves a lot. and these OTM options are volatile. 1 cent here and there doesnot matter, but remember to place limit rather than market .. since here.. its your order which makes the bid ask move.. ha ha..
 
Quote from darwin666:

hey.. i have seen this too often. so please chime in here. if you have seen similiar

example good ole SPY>. most liquid traded options.. yesterday . the 181.5 call. OTM. weekly expiring .

the bid ask was 4-5 cent..
I placed a limit sell 50 qty for 4 cent.. as soon as i hit the send, it didnot execute mine. and changed it to 3-4 cent..
in another varioaton of this.. when I place the order as mkt. ie. sell 50 at mkt.. assuming I will get 4 cent... it executes at 3.!!. and now shows 3 -4.. i bet you, if I hadplaced a market buy at 5 cent.. it probably would jump the other way to 5-6 and execute at 6 .. ha ha..
now we all know. SPY moves a lot. and these OTM options are volatile. 1 cent here and there doesnot matter, but remember to place limit rather than market .. since here.. its your order which makes the bid ask move.. ha ha..
More...

Depending on what your commissions are.. You might look at spx options... More notional valve for less commission... The bid and ask spread only looks wider if you don't consider the notional difference... Most people realize your order in some way influences the market...rule number 1 use limit orders..
 
50 qty on a far OTM is a huge quantity. I check the bid/ask sizes before I put on a trade. You may be influencing that area of the skew more than you think.

Also, I feel my .01 spend OTM is more valuable than my .01 spent ATM. You got to really fight for every penny OTM.
 
You've traded options before? SUSQ, Citadel, etc., have "interest" algos that penny you as soon as any interest is shown. Best to have a few accounts; indicate a bid near NBBO; wait for them to penny or nickel you; then offer in the other account (intention to sell/short).
 
Quote from drownpruf:

You've traded options before? SUSQ, Citadel, etc., have "interest" algos that penny you as soon as any interest is shown. Best to have a few accounts; indicate a bid near NBBO; wait for them to penny or nickel you; then offer in the other account (intention to sell/short).
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turtle.jpg
 
Electronic market makers have an almost unlimited capacity to fill orders, they can hedge in RT if they wanted to.

I am skeptical they will lift their ask after hitting your bid. Maybe a an options trader in the pits may want a breather from filling a big order.

Are you sure that your perceived "lifting" of ask prices is not due to the natural back and forth of the underlying?

Since somebody is posting cute pictures, I am gonna quote a line from Terminator as an analogy for electronic market making:

"Kyle Reese: Listen, and understand. That terminator is out there. It can't be bargained with. It can't be reasoned with. It doesn't feel pity, or remorse, or fear. And it absolutely will not stop, ever, until you are dead."

However, these "interest algos" do capture my curiosity...
 
Quote from xandman:

Electronic market makers have an almost unlimited capacity to fill orders, they can hedge in RT if they wanted to.

I am skeptical they will lift their ask after hitting your bid. Maybe a an options trader in the pits may want a breather from filling a big order.

Are you sure that your perceived "lifting" of ask prices is not due to the natural back and forth of the underlying?

Since somebody is posting cute pictures, I am gonna quote a line from Terminator as an analogy for electronic market making:

"Kyle Reese: Listen, and understand. That terminator is out there. It can't be bargained with. It can't be reasoned with. It doesn't feel pity, or remorse, or fear. And it absolutely will not stop, ever, until you are dead."

However, these "interest algos" do capture my curiosity...
More...

Yass at SUSQ was the first to code it for EMM. It's still mostly microstructure; IOW, they're not going to move fairval a lot, and often the fairval doesn't move much at all (NBBO narrows), but sometimes it does. A 500-lot customer order is much more likely to move the mid then a 5-lot. It's definitely proportional to size.
 
With IB there is a way to only show a few contracts instead of show all.

Also, check market depth before you place the order. The market makers see 50 and think there are 450 behind that.
 
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