Credit Spread Question

[FullyArticulate]

Quote from jj90:

What type of verticals are you doing FA?

At the time, I was doing primarily strangles, rather than verticals. I got reasonably good fills on ES, but horrible ones on ER (if you didn't hit the bid or take the ask, you were just plain out of luck).

I would then make adjustments to my strangles with verticals and got pretty good fills there.

Generally 1 tick "worse" than midpoint would get me an instant fill, midpoint would take a minute or two.

But, that was last October, but I'd be surprised if it's gotten less liquid since then? What percent between bid/ask are you getting fills?

 

[yip1997]

Quote from One:

Thanks for the follow up atozcom. Interesting that yip1997 wasn't able to get fills at the mid, but I'm sure if varies by market.

When you ask for a quote, or where an order will likely get filled, and TOS calls the Pit, how much size is quoted on each side?

Thanks again.

Last year, I was able to get filled at around mid, but recently it is getting harder and harder.

 

[jj90]

Quote from FullyArticulate:

I got reasonably good fills on ES, but horrible ones on ER (if you didn't hit the bid or take the ask, you were just plain out of luck).

But, that was last October, but I'd be surprised if it's gotten less liquid since then? What percent between bid/ask are you getting fills?

Can't comment on ES much since I haven't traded them since last fall, but I had about same experience with you. A lot better than ER, I often took bout' 30-40% of the spread. As far as ER goes, I've noticed some liquidity drying up since earlier in the year. I often also don't get more than 1/3 of the spread, usually 20-25%.

 

[tyrant]

Quote from FullyArticulate:

At the time, I was doing primarily strangles, rather than verticals. I got reasonably good fills on ES, but horrible ones on ER (if you didn't hit the bid or take the ask, you were just plain out of luck).

I would then make adjustments to my strangles with verticals and got pretty good fills there.

Generally 1 tick "worse" than midpoint would get me an instant fill, midpoint would take a minute or two.

But, that was last October, but I'd be surprised if it's gotten less liquid since then? What percent between bid/ask are you getting fills?

Fullyarticulate,

Back to OP question,

"Is it better to leg into a credit spread OR enter the order as a credit spread if the comission is the same?"

 

[atozcom]

Quote from tyrant:

Fullyarticulate,

Back to OP question,

"Is it better to leg into a credit spread OR enter the order as a credit spread if the comission is the same?"

It is better to enter the order of the entire spread. Less work.

If you are going to leg into a spread, buy the long leg first and then sell the short leg. Otherwise you may get caught in a spread with a naked leg.