Options Insider Radio

"Looking forward to listen to the show. Is there a specific topic you are going to discuss?"

I'll be talking about what we do with derivatives in our shop.
 
Sadly, I just have too much stuff to listen to these days I haven't been able to listen to the TWIFO and other podcasts as much anymore. But I'll be definitely trying to make an effort for this.
 
ajacobson said:
"Looking forward to listen to the show. Is there a specific topic you are going to discuss?"

I'll be talking about what we do with derivatives in our shop.
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I would love to hear your view on assigning buy/sell orders on the options tape. What to look for etc. Hau Volatility has an approach where they look at bid/ask/NBBO and the reduction in bid/ask offers as well as how the IV curve changes, but I've heard that's not nearly enough to get a broad picture. There are a few websites that track option order flow like cheddarflow that look for block trades and short/long term sweeps, but the data is so expensive, that retail probably won't be able to backtest it for predictive value.
 
@Atikon - it's actually a great question. You should post it up on The Insider and let a few of the options guys to respond. I find "raw" data is simply too noisy and needs to be examined with respect to what else is trading. You are spot-on to look at the overall impact of the trade.
Trying to read tea leaves from raw data is hard. Was it tied to stock or a QCC trade? Was it shopped upstairs? Then sometimes a cigar is a cigar. You're also spot-on as to how costly good data is as well as how retail is priced out.
Post it up and I will also try to get the host to make it a discussion point.
 
ajacobson said:
@Atikon - it's actually a great question. You should post it up on The Insider and let a few of the options guys to respond. I find "raw" data is simply too noisy and needs to be examined with respect to what else is trading. You are spot-on to look at the overall impact of the trade.
Trying to read tea leaves from raw data is hard. Was it tied to stock or a QCC trade? Was it shopped upstairs? Then sometimes a cigar is a cigar. You're also spot-on as to how costly good data is as well as how retail is priced out.
Post it up and I will also try to get the host to make it a discussion point.
More...
Will do mate, it gets a bit into the weeds and I'm not sure they can accommodate, but most vol traders one hears on option podcast seem to share that one edge.

On the priced out point you are spot on, cboe option flow data on equities dating back to 2017 would be in the 70k realm
 
Atikon said:
I would love to hear your view on assigning buy/sell orders on the options tape. What to look for etc. Hau Volatility has an approach where they look at bid/ask/NBBO and the reduction in bid/ask offers as well as how the IV curve changes, but I've heard that's not nearly enough to get a broad picture. There are a few websites that track option order flow like cheddarflow that look for block trades and short/long term sweeps, but the data is so expensive, that retail probably won't be able to backtest it for predictive value.
More...

Thanks, very interesting. How would you expect the IV curve change in respect to an exchange on the bid or on the offer?
 
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