Thank you for the answer. Have you tried to participate in the CBOE opening auction or only limit orders when the market opened for regular continous trading?Can you explain what you meant by no price protection? I always trade with limit orders. And I only trade equity options, not index options.
I quite often traded right from the get go market open, usually within a few min of opening. I got better fill for my orders at open. Somehow the MM hadn't adjusted their model and still traded base on open underlying + old IV... I don't know???
I seldom traded at close, almost always had to pay a little extra to get the fill I wanted. Don't know why either???
Opening and closing auctions for single stock options
- Thread starter Maverick2608
- Start date
Robert Morse
Sponsor
If you get a fill at 9:30:01 at 1.10 on q buy order and another option exchange does not open until 9:30:01 too, the exchange you sent your order to does not know that the other exchange had a customer or MM offer at 1.07. Equity markets have a primary. Option market do not.
I only do limit orders.
Thank you for your answer.