Bye-bye reg T

[nitro]

Quote from just21:

Take a look today, some SPX strikes have done 6300 lots v 121 eg 1475 calls. The SPX has traded up to 1540 strike the ES only the 1480 strike on the calls.

You mean volume? Volume and liquidity are not the same thing. The reason a MM sells/buys an option is because they can hedge it in a more liquid market. Almost by definition, ES _must_be_ at least as liquid as SPX options.

It is very possible to have far greater volume in SPX than in ES. Think in terms of delta. I do two delta 50 SPX options, that means I have to hedge it with 1 ES. There are many strikes and months in SPX, all of which have at most 100 delta and many that have far less delta. Then you have greeks that can only be hedged with other options. The rest follows from simple logic.

nitro

PS. Also, although less likely, you can hedge SPX with SPY or even with the SP futures (or even YM NQ etc if you realy want to get technical), taking some of the [hedge] volume away from ES.

 

[Maverick74]

Quote from opt789:

Which firm? What software?

VTrader Group. Software is in house.

 

[Maverick74]

Quote from just21:

Take a look today, some SPX strikes have done 6300 lots v 121 eg 1475 calls. The SPX has traded up to 1540 strike the ES only the 1480 strike on the calls.

Nitro is right. There are a million guys doing the SPX/ES arb. There are more then enough willing participants ready to take the other side of your order to lay off against the other. The only deeper options liquidity in the world on an exchange traded product would the the Euro-dollar options. SPX/ES options are very very very deep.

 

[just21]

Quote from Maverick74:

Nitro is right. There are a million guys doing the SPX/ES arb. There are more then enough willing participants ready to take the other side of your order to lay off against the other. The only deeper options liquidity in the world on an exchange traded product would the the Euro-dollar options. SPX/ES options are very very very deep.

I am going to use the PM account and switch from ES to SPX because of the greater volume.

 

[nitro]

Quote from just21:

I am going to use the PM account and switch from ES to SPX because of the greater volume.

You are in for a big surprise. Fills go to the one willing to do large size at the best price, and you have to be in the pit to do it.

And that is just the beginning of the hardship...

nitro

 

[yip1997]

nitro,

Do you mean you get better fill with ES options?

 

[nitro]

Quote from yip1997:

nitro,

Do you mean you get better fill with ES options?

Imo, for the retail trader, I have no idea why you would ever use SPX options. For the institutional trader SPX is unmatched because of the massive size you can do close to mid. But for the retail trader, I just don't understand why you would ever choose SPX over ES options, since ES options are electronic. Only if you were trying to play mini-market maker would you do SPX, because of the [perceived] wide spreads means that a skillful trader can sucker in less skillful retail traders to trade at a bad price in SPX.

If your goal is not to play mini MM, then imo ES options are a better trading vehicle than SPX options for the reasons given above.

When SPX options goes 100% hybrid, the terrain may change...

nitro

 

[Maverick74]

Quote from yip1997:

nitro,

Do you mean you get better fill with ES options?

You get better fills with a floor broker. I really don't think one product is better then the other. I have stated before one of the nice things about the cash index options is most retail platforms have better analytics for cash options vs futures options.

 

[atticus]

Quote from nitro:

Imo, for the retail trader, I have no idea why you would ever use SPX options. For the institutional trader SPX is unmatched because of the massive size you can do close to mid. But for the retail trader, I just don't understand why you would ever choose SPX over ES options, since ES options are electronic. Only if you were trying to play mini-market maker would you do SPX, because of the [perceived] wide spreads means that a skillful trader can sucker in less skillful retail traders to trade at a bad price in SPX.

If your goal is not to play mini MM, then imo ES options are a better trading vehicle than SPX options for the reasons given above.

When SPX options goes 100% hybrid, the terrain may change...

nitro

Still no volume in ES, but now you love them:

http://www.elitetrader.com/vb/showthread.php?s=&postid=590896&highlight=nitro+es+options#post590896

 

[nitro]

Quote from atticus:

Still no volume in ES, but now you love them:

http://www.elitetrader.com/vb/showthread.php?s=&postid=590896&highlight=nitro+es+options#post590896

The volume in ES options is growing slowly, but it is growing. They don't even come close to SPX volume. But, that SPX volume is a mirage because it is all institutional and the fills go to the MM in the pit. It is an illusion if you think that any of that volume goes to the retail trader doing less than 50 lots.

nitro