So I wanna kinda understand whats going on here. I had a 4 legged equity options trade on with a open sell order for .40. It would not fill, but I see its trading at .57. so I cancel the .40 order and put a closing order for .57 and work my way down and to .51 and boom it fills. Why would it not fill at .40 for would fill at .51?
Equity spreads filling at higher price then original order
- Thread starter Bekim
- Start date
Robert Morse
Sponsor
Where do you see fills on a spread with one price? Option spreads are printed as single prints, not the net.
Robert Morse
Sponsor
Complex Order Books are only monitored by a small handful of market makers. Most traders can see the orders in the book. Who is your broker ?Are you sure your order was posted in a COB?
It'd be easier if you posted what the trade was specifically (or at least give us prices / strikes / long & short). Were you trying to exit a long condor? It's tough to get a grasp on what we're looking at from just prices (and assuming you didn't flip any one of 4 words that would imply a reverse of the trade--as I'm wont to do).
And you were exiting the position? Was the .51 vs .40 on all 4 legs? What time of day was it?
It's just a strange spread to get a fill, so you're not going to get filled by the majority of algo based market makers, nor are you likely to get a retail counter party. So my guess would be that perhaps there was a vol spike while you were ticking down--either from price movement towards the strike.
Don't have much of an idea on exactly how you got filled, but I would suggest a few things (I presume by double calendar you mean short the front week straddle, long the back?). If you're going to do a straight calendar, you'll do a lot better just taking either the put or the call side (and resting one-cancel-other order on each side). If you're going to do the straddle, leg in on this because you'll get much better fills because it's a position with pretty heavy MM competition, and you won't carry much delta risk while you fill the long and short separately (you will get a fill on the long side easier and then can rest the short all day if price action is boring).
My take away--you got lucky on this, but probably paid way more on the spreads and commissions on the open and close than you needed to.
well I know i did not overpay for this position when I opened because I checked back tested previous possible fill prices. I know what price I am willing to pay this is why I must enter whole position at one time, and my commission structure is conducive to entering and exiting a whole position at one time. The reason I don't just take the put or call side is because back tested results are better with both sides. Possibly because of the jelly roll but I'M not sure.