Option Order flow trading with a Bloomberg terminal

https://www.sec.gov/divisions/investment/13f/13flist2017q4.pdf

Pretty much everything except SPX and VIX. Lot's of talk about when SPX and VIX will add.
With rare exception if it has a cusip - otherwise you could "hide" in the deeps, converts and structured. You can create a scenario with and offshore structured product, but in the end the contra would have to report and we won't discuss that.
BTW - not talking about hiding from the feds - talking about hiding from your competition. Even if there was a desire to hide in options there is still the Large Position Reporting Requirement(200 or more to one side of the market), but LOPR isn't public.
 
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newwurldmn said:
I thought 13f was only long stock positions.
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There is no way a trader can use this to make money as it is too delayed.

The securities that institutional investment managers must report on Form 13F are “section 13(f) securities.” Section 13(f) securities generally include equity securities that trade on an exchange (including the Nasdaq National Market System), certain equity options and warrants, shares of closed-end investment companies, and certain convertible debt securities.
 
ajacobson said:
70+% of order over 1000 contracts are not directional. Search the Edgar site for their study on QCC -qualified contingent cross and you'll see the work. What is most of it ? Hedges, vol. plays and layoffs from structured stuff. An account buying 2000 AMZN puts is more likely hedging than doing an outright directional play.
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I've been searching all morning for this reference. Could I trouble you to tell me in a bit more detail where to find this? I am working on an academic research project involving the information in option order flow. I would most appreciate any help you can give. Thanks.
 
BTW the trade itself does not usually tell you anything about information value. QCC just proved that, among other thing the simple trade itself might not be what it appears. Like a put buyer being bullish by creating a synthetic call. If you define down and look at more than just the volume there might be information value. A great example was Amazon this month where there were tons of what looked like risk/reversals if you assumed the the folks who did the trade had short stock. If they were simply what they looked like - they were highly directional. If you are really doing academic work you can find a ton of "studies" done by academics like Alan Pottisham at the U of I. Also nearly a third of the size volume isn't QCC - the art is in translating the activity. The SEC evaluation came after the ISE filing to get QCC approved. Blocks were getting broken up and the intention of QCC was to be able to not expose the block to the entire trading community - just send it to one or two MMs and just get it done. The surprise was how much of the block volume was not as "simple" as it looked.
 
Thanks for the suggestions. I've found lots on Edgar that has been interesting, though nothing that suggests that 70% of large orders are non-directional. If you know where that figure came from, I could really use it.
 
ajacobson said:
A great example was Amazon this month where there were tons of what looked like risk/reversals if you assumed the the folks who did the trade had short stock. If they were simply what they looked like - they were highly directional.
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Exactly, you never know what's attached or what the purpose is.

For instance, when delta hedged... a risk reversal: long the OTM put/short OTM call is a bullish trade, since the hard deltas (the underlying stock) will be long. So besides a crash, gradually up works best.

Block trades usually don't provide any pricing info either, since you're missing the delta-hedged part.
 
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