How many contracts is too many concerning SPX liquidity?

S

scotta65

I know that the SPX is known for not being the most liquid index for options trading....but for how large of orders is this the case?

From your own personal experiences, how many contracts does it usually take before you begin to have troubles filling your options trades on the SPX?

5? 10? 50? 100? I have no idea.


I am trying to get a sense of when the risk of illiquidity in the SPX outweighs the additional commissions/contracts and tax considerations required for SPY

Cheers
 
Liquidity changes agreed? At times of generally low liquid spx is lower.... its at critical times... that's just from what I've read..
 
Quote from scotta65:

I know that the SPX is known for not being the most liquid index for options trading....but for how large of orders is this the case?

From your own personal experiences, how many contracts does it usually take before you begin to have troubles filling your options trades on the SPX?

5? 10? 50? 100? I have no idea.


I am trying to get a sense of when the risk of illiquidity in the SPX outweighs the additional commissions/contracts and tax considerations required for SPY

Cheers
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Last Friday's biggest trade was a 5000 contract Put spread (1450/1470) for Apr20 and it traded nicely almost at mid on both legs.
 
Quote from blueplayer:

Last Friday's biggest trade was a 5000 contract Put spread (1450/1470) for Apr20 and it traded nicely almost at mid on both legs.
More...

Those are institutional trades shopped on trading desks. Unless you have access to a broker like that, you will have to use the electronic book. There really is no answer to the original question that will be consistently correct. OTM options will have tighter and more liquid spreads. ATM and ITM less so. You really do need a broker in that crowd to do business in SPX and do size mid market and get a competitive price.
 
Ok, say for example 2008 crash happens to a put seller trying to close his short positions. Would he have any material difference in the probability of getting his close filled (at market, not limit) if he was selling SPY options rather than SPX options? Or in a case that drastic would he pretty much be equally out of luck
 
Quote from scotta65:

Ok, say for example 2008 crash happens to a put seller trying to close his short positions. Would he have any material difference in the probability of getting his close filled (at market, not limit) if he was selling SPY options rather than SPX options? Or in a case that drastic would he pretty much be equally out of luck
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thats the question to ask...
 
Quote from scotta65:

Ok, say for example 2008 crash happens to a put seller trying to close his short positions. Would he have any material difference in the probability of getting his close filled (at market, not limit) if he was selling SPY options rather than SPX options? Or in a case that drastic would he pretty much be equally out of luck
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You will get the fills on all your market orders. Try thinkBack of TOS to see what were bid/ask spreads back then.
 
Quote from gkishot:

You will get the fills on all your market orders. Try thinkBack of TOS to see what were bid/ask spreads back then.
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be careful using thinkback - IIRC you only see the EOD b/a.
 
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