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option arbitrage....examples ?
- Thread starter jjk2
- Start date
Not completely true. If there is a possiblitiy of a rate change before expiry then different traders may have different opinions on the likelihood and magnitude of the change. Similarly for long term options estimates of dividend growth rates come in to play.Quote from cvds16:
all things except vol are constant
Either or both of these factors can set up near-arbs.
Quote from marketsurfer:
hmmm, we were doing it quite succesfully in 2002/2003.
thanks,
surf
Inverted markets ended at the time of the COMS/PALM spinoff. I know because I/others caused the linkage to be implemented. It was early 2000.
The "Last Atlantis" method you were trading was a "pick 'em" trade, not a crossed market. No crossed/inverted market inter-exchange indication [3.00 x 2.80] was executable after the link was implemented in 2000.
Quote from atticus:
Inverted markets ended at the time of the COMS/PALM spinoff. I know because I/others caused the linkage to be implemented. It was early 2000.
The "Last Atlantis" method you were trading was a "pick 'em" trade, not a crossed market. No crossed/inverted market inter-exchange indication [3.00 x 2.80] was executable after the link was implemented in 2000.
yeah, it was a pick em from the traders end. however, we would see the inverted markets all the time, and on occasion be able to execute. no kidding.
surf
Just a question, unless you were pure retail customer why would they even allow you to lift the offer or hit the bid infront of the mm's.
Back in 2000 I was a mm in the SOX options pit, it was a single listed index so there was no possibility of a crossed market. Prior to that the only equity option i made markets in was DELL for a few years while it was single listed.
I had exploited crossed markets in other options products besides equity based ones for a long time in the 80's and 90's but never as a customer
Back in 2000 I was a mm in the SOX options pit, it was a single listed index so there was no possibility of a crossed market. Prior to that the only equity option i made markets in was DELL for a few years while it was single listed.
I had exploited crossed markets in other options products besides equity based ones for a long time in the 80's and 90's but never as a customer
Quote from marketsurfer:
yeah, it was a pick em from the traders end. however, we would see the inverted markets all the time, and on occasion be able to execute. no kidding.
surf
Surf, you weren't executing a crossed equity option, post 2000. If you were filled it wasn't crossed. I'll bet that nobody here can produce a run showing a fill on a crossed equity option past March of 2000. If so, feel free to take my money. Crossed markets would appear but the link would lock the market and alarm at the DPM.
Quote from xflat2186:
Just a question, unless you were pure retail customer why would they even allow you to lift the offer or hit the bid infront of the mm's.
Back in 2000 I was a mm in the SOX options pit, it was a single listed index so there was no possibility of a crossed market. Prior to that the only equity option i made markets in was DELL for a few years while it was single listed.
I had exploited crossed markets in other options products besides equity based ones for a long time in the 80's and 90's but never as a customer
RAES with customer priority on 20 lots or less with an IB retail account. I took the COMS-crowd, among others, for >$1MM in late 1999 in 20 trading days. By the time I had it automated it was closed, a Monday, IIRC. IB went to bat as there was an attempt made to bust the trades. The 15-second rule was implemented as well:
http://www.interactivebrokers.com/en/accounts/legalDocuments/raes.php?ib_entity=llc#0141
COMS had all the volume and vola during that time. I recall markets in the front-month 80C of 3.00 x 2.75 all day long, and some markets were crossed by as much as $.50.