open book level 2 or market maker pricing

[Robert Morse]

Opra L2 shows each exchange best bid/offer, not the depth outside for each exchange. What you are looking for is not a retail offering. When you consider the number of option strikes and even 5 levels of depth, that is an enormous amount of data to stream.

 

[Robert Morse]

why is that? i thought OPRA had all the #s for level 2... spx is super liquid so i thought finding the tools to trade spx would be readily available. i'd like to trade more spx and less spy but the data gap is annoying. uphill challenge for the retail trader...

What value would you get to see all the bids and offers outside the NBBO when little of that is customer flow and most are MM markets staying outside tradable prices?

 

[Abundance Magnet]

What value would you get to see all the bids and offers outside the NBBO when little of that is customer flow and most are MM markets staying outside tradable prices?

i think i'm not wording it properly... my level 2 window for spx options often shows very little level 2 data. e.g. L2 data for FB options show many more orders than the L2 data for spx or ndx options.

I don't want to see tons of data... just the top 10 orders in the queue. as per L2 data for other stock options

 

[beerntrading]

What value would you get to see all the bids and offers outside the NBBO when little of that is customer flow and most are MM markets staying outside tradable prices?

You could most definitely exploit options depth in a way you could not on the underlying. They're pretty routine with intermarket sweeps--the idea being to take all the liquidity before anyone can lift their orders in front of the delta (gamma) train.

But of course, the other side to this is market makers know this, and (presumably) won't hide shares behind showing orders below top of book assuming the full delta risk of their BBO iceberg, plus showing shares beneath--and making DOM pretty useless since retail flow is going to disappear into a few mm trades.

Anyone big enough and sophisticated enough to put a market moving options trade on, isn't about to show their hand (in that getting that much liquidity on a spec delta move, the buyer will value it at--or above--the ask more than the partial fill risk)...in no small part in response to the above two points.

...And supposing you do get the keys to your dad's corvette and fail to keep you motives hidden, you do something like this:

That's call buying and chasing into the top tick after the buyer tipped his hand that he was buying...His last contracts filled at 10:48 on a top tick not again seen before expiration (that Friday--which you can actually divine from that chart, if you're crafty).

 

[FSU]

i think i'm not wording it properly... my level 2 window for spx options often shows very little level 2 data. e.g. L2 data for FB options show many more orders than the L2 data for spx or ndx options.

I don't want to see tons of data... just the top 10 orders in the queue. as per L2 data for other stock options

I'm a bit confused on what you are seeing and what you want to see.

In the SPX, I can see only the best bid and offer and the size of that order. I wasn't aware you could see any depth behind this.

In equity options (which are multiply listed, unlike the SPX) such as FB, I can see the best bid and offer on each exchange along with the size, but no depth below or above each exchanges bid/offer. So it appears that you are seeing a lot of orders, but in fact just the best on each exchange. Is this what you are talking about?

 

[Abundance Magnet]

I'm a bit confused on what you are seeing and what you want to see.

In the SPX, I can see only the best bid and offer and the size of that order. I wasn't aware you could see any depth behind this.

In equity options (which are multiply listed, unlike the SPX) such as FB, I can see the best bid and offer on each exchange along with the size, but no depth below or above each exchanges bid/offer. So it appears that you are seeing a lot of orders, but in fact just the best on each exchange. Is this what you are talking about?

Yes, that is what I am talking about. Didn't realize there was only 1 exchange. Also didn't know that L2 meant only the best from each exchange.

Was hoping to see more depth behind the SPX options. My annoyance is putting a mid point offer, seeing the bid then jump to that. If I remove the offer then it drops back down. I see the mm constantly play with the bid and asks. Eg the ask doesn't.move when I have offer out there, but once I remove it, it would then adjust. Likewise, if I get filled, I see the bid and ask jump up considerably. It's like you think got a good price but after you bought it, then you see what the actual price is/was. With equity options, you can see the clumping of orders above/below you, so you better gauge what the market sentiment is. With SPX, it's going in blind. At least, that's what I am seeing (or not seeing) on my screen... I say all of this because I'm sure there are better tools and info out there. The SPX market is huge, surely not everyone could or would trade blind like this.

 

[Robert Morse]

i think i'm not wording it properly... my level 2 window for spx options often shows very little level 2 data. e.g. L2 data for FB options show many more orders than the L2 data for spx or ndx options.

SPX is a single list on the CBOE. What do you expect to see in L2? FB is traded on 15 option exchanges so you may see 15 bids and 15 offers. For any SPX option, you only get top of book on the CBOE.

Bob

 

[Abundance Magnet]

SPX is a single list on the CBOE. What do you expect to see in L2? FB is traded on 15 option exchanges so you may see 15 bids and 15 offers. For any SPX option, you only get top of book on the CBOE.

Bob

i see... so is there any feed that will provide the next best b-a's after the one that is at the top of the list? I thought L2 did that but now I see that it is only for the best b-a's across the different exchanges. with spx having only one exchange, then that is the reason i only see one row of data...

 

[Robert Morse]

i see... so is there any feed that will provide the next best b-a's after the one that is at the top of the list? I thought L2 did that but now I see that it is only for the best b-a's across the different exchanges. with spx having only one exchange, then that is the reason i only see one row of data...

The words level 2 and depth of market confuse all of us. L2 and depth of market for all option provide one level more than top of book which is level 1. L2 or depth of market on one exchange, would provide the details you want. OPRA does not offer that. CBOE might for members.