If the "time and sales" for the two option contracts in a spread show that the worst possible price (assuming you got bought the highest and sold the lowest print of the day) was 6.50 and you were somehow filled at 7.90, is there any way this could be legit? The spread also closed on Friday at 6.50, and the spooz opened down a quarter point and then traded lower (in the spreads favor)... supposedly the order was filled near the open.
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Burned or Legite Fill?? SPX Options
- Thread starter Q12
- Start date
Do you have access to actual time and sales, with bid/ask and time for each option? If so you can see if it was a reasonable fill, if not you may be looking at incomplete data. Options can print out of sequence and sometimes not print at all in the SPX because it is not electronic. If you wish to say what the spread was and when it was filled I can tell you if it was reasonably fair or not. If you don't care to do that, you can call the CBOE and they will look at the actual time and sales and tell you if it was out of line.
Quote from Q12:
If the "time and sales" for the two option contracts in a spread show that the worst possible price (assuming you got bought the highest and sold the lowest print of the day) was 6.50 and you were somehow filled at 7.90, is there any way this could be legit?
.. This information is too little to go on. The floor routinely uses artificial leg-prices for spreads, prices that may never have traded in either or both underlying options. And SPX options trade sporadically, so the high and low traded prices of specific options depend heavily on when they traded, especially on fast-market days. But having said that, paying up 1.40 on the day sounds like "a lot" relative to the market conditions you mention, unless the underlying options were ITM or ATM. So it's probably worth browbeating your broker about, or at least exploring in more detail.
That can certainly happen, and it's legit, spreads do not necessarily conform to the posted high & low. Using market orders in any thin market (and spreads are often a thin market, even if the underlying isn't), is risky, and you can always enter limit orders on a spread. That doesn't mean that it's not a crappy fill, though, and you can always complain about that.
jessie
jessie