Help! Does Anyone Have Price Data From Friday?

H

HelloDollar

Entering Friday, I was long 5 QQQ 171-170.50 puts spreads, due to expire on the 11/30 close.

Earlier in the session, I sold 1@0.47 and 1@0.48. It appeared that during the day, the spread was never lower than .44 bid.

However, at 3:18pm (EDT) my nervous brokerage house liquidated the spread for THREE CENTS. Mind you, the Q's were 169.00 at the time, a buck-fifty under my lowest strike, with only 42 minutes left to opex.

I can assume that the spread was at least .46b at that time. My fill prices were 3:18pm, selling the 171's for 1.86 and buying back the 170.50's for 1.83.

Can anyone provide me prices from those Nov30 171p and 170.50 puts during that period, late Friday?

Thanks in advance!
 
I don't have access to historical price data, but I would be curious if you were liquidated as a spread and what exchange it was sent to.
 
HelloDollar said:
Entering Friday, I was long 5 QQQ 171-170.50 puts spreads, due to expire on the 11/30 close.

Earlier in the session, I sold 1@0.47 and 1@0.48. It appeared that during the day, the spread was never lower than .44 bid.

However, at 3:18pm (EDT) my nervous brokerage house liquidated the spread for THREE CENTS. Mind you, the Q's were 169.00 at the time, a buck-fifty under my lowest strike, with only 42 minutes left to opex.

I can assume that the spread was at least .46b at that time. My fill prices were 3:18pm, selling the 171's for 1.86 and buying back the 170.50's for 1.83.

Can anyone provide me prices from those Nov30 171p and 170.50 puts during that period, late Friday?

Thanks in advance!
More...

This is the snapshot @ 3:15 for QQQ puts
B/A was @0.10x0.92

Snap3.png
 
So apparently I do have access to this. Looking back I see a 3 lot of 171 puts traded at 3:18:58et at 1.89 on the Amex. This was not a spread trade. The market at the time was 1.86x2.41.

But I do not see the 170.50 puts trading here. I searched from 3:00 to 4:00pm et and the only 170.50 puts I see trading were part of a time spread trading at around 3:03

If you could post the exact time of each leg of the spread (with seconds) I will check again.
 
FSU said:
So apparently I do have access to this. Looking back I see a 3 lot of 171 puts traded at 3:18:58et at 1.89 on the Amex. This was not a spread trade. The market at the time was 1.86x2.41.

But I do not see the 170.50 puts trading here. I searched from 3:00 to 4:00pm et and the only 170.50 puts I see trading were part of a time spread trading at around 3:03

If you could post the exact time of each leg of the spread (with seconds) I will check again.
More...

Thank you FSU! I don't know at what second the 3:18 trades occurred but I gotta think that I'm the 3 lot at 1.86 that you found. (price, quantity and minute all match)

Because I was auto-liquidated I've no idea if the trade went through as a spread (doubtful, even though I put them on as a spread) or if the legs were done separate from each other (probable.)

Doesn't a 55 cent wide market on a slightly itm put with 48 minutes to go, seem extraordinarily wide? Was that the NBB-NBO market at that time, or only the AMEX?

Also, is it possible that the trade was made with an ECN (Citadel, perhaps) but then posted on the AMEX tape?
 
lol your nervous broker. yes they were incredibly nervous that you shouldn't lose money leading to disastrous credit exposure with a counterparty who would never pay so they decided to liquidate a random set of your positions at some price which was made by them but only they can trade on with themselves. i wish the federal reserve offered this service they could have crossed out all the credit default swaps before the crisis and saved the banks. no need to look at any of the positions its prudent risk management.
 
HelloDollar said:
Thank you FSU! I don't know at what second the 3:18 trades occurred but I gotta think that I'm the 3 lot at 1.86 that you found. (price, quantity and minute all match)

Because I was auto-liquidated I've no idea if the trade went through as a spread (doubtful, even though I put them on as a spread) or if the legs were done separate from each other (probable.)

Doesn't a 55 cent wide market on a slightly itm put with 48 minutes to go, seem extraordinarily wide? Was that the NBB-NBO market at that time, or only the AMEX?

Also, is it possible that the trade was made with an ECN (Citadel, perhaps) but then posted on the AMEX tape?
More...

The 3 lot I saw was at 1.89 and not 1.86 and no trades in the 170.5's so I am confused on how, where and at what price you were liquidated at.

Clearing firms can't trade these things internally, the must be traded on an exchange. That's not to say that an order might be sold to another firm and it ends up being crossed on an exchange, but it still must be traded on an exchange, so we should see the prices. You should definitely check to get the exact details of their liquidation. And yes a fill at those prices seems ridiculous if it was done at the same time.
 
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