When do SSFs on OneChicago get market makers for the June contracts?

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BinaryAlgorithm

Taking NLY as an example that has MMs (many listed products don't appear to, about 75% of those I checked, even high cap + liquid) - NLY December, January and March futures contracts exist with reasonable spreads (0.02-0.03) and pricing. However, June 2020 has no market makers and fills don't seem to be possible in any reasonable range of fair prices (and even at a premium). From the data I collected, all contracts with MMs will have NBBO T&S data in IB, so the ones with no quotes don't appear to have any.

When do these get close enough that the MMs appear? Right now I am just checking daily and figure one day they will appear when the date is close enough.
 
BinaryAlgorithm said:
Taking NLY as an example that has MMs (many listed products don't appear to, about 75% of those I checked, even high cap + liquid) - NLY December, January and March futures contracts exist with reasonable spreads (0.02-0.03) and pricing. However, June 2020 has no market makers and fills don't seem to be possible in any reasonable range of fair prices (and even at a premium). From the data I collected, all contracts with MMs will have NBBO T&S data in IB, so the ones with no quotes don't appear to have any.

When do these get close enough that the MMs appear? Right now I am just checking daily and figure one day they will appear when the date is close enough.
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If you place a bid or offer in a market with none, aren't you essentially a MM at that point?
 
BinaryAlgorithm said:
Taking NLY as an example that has MMs (many listed products don't appear to, about 75% of those I checked, even high cap + liquid) - NLY December, January and March futures contracts exist with reasonable spreads (0.02-0.03) and pricing. However, June 2020 has no market makers and fills don't seem to be possible in any reasonable range of fair prices (and even at a premium). From the data I collected, all contracts with MMs will have NBBO T&S data in IB, so the ones with no quotes don't appear to have any.

When do these get close enough that the MMs appear? Right now I am just checking daily and figure one day they will appear when the date is close enough.
More...
They claim that there are market makers who will hit your bid or offer if you make it. I've never tested that, but you could always give it a try. It's probably more likely to happen on the ones that have at least some MM activity, as you've identified. There's a rep here, @OneChicago, who usually checks in on these threads, you could PM him and I'm sure he'd respond and he's pretty passionate about the product.
 
Already have. I've never had an issue getting a fill at the bid/ask when it exists but since I'll eventually need 100-150 contracts I'll have to see how marketable limit orders perform with that size. They have enough spread to immediately hedge. I just am not getting why the June contracts don't have quotes for any asset. I think there is only one market maker, you'll never see anything other than size=10 (at least I haven't).
 
BinaryAlgorithm said:
Already have. I've never had an issue getting a fill at the bid/ask when it exists but since I'll eventually need 100-150 contracts I'll have to see how marketable limit orders perform with that size. They have enough spread to immediately hedge. I just am not getting why the June contracts don't have quotes for any asset. I think there is only one market maker, you'll never see anything other than size=10 (at least I haven't).
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Yeah, I think anything they do show is indicative anyway, hence the small size. I think all their volume is essentially exchange transacted/cleared OTC deals that were effectively negotiated off exchange. If you have an actual broker (human) who can do deals you can probably have them set something up for you that way.
 
For whatever reason the MM doesn't quote the furthest out contract. They'll be quoted once the September contracts come out, I think after the December expiry.

However, the March/June spreads and STARS (spread between next day and June) are being quoted. Not sure about NLY specifically. Sometimes they're decent, sometimes they're absurdly wide.
 
Are the "no dividend risk" SSF designed so that they are essentially "unaffected" by dividends? Meaning, you can hold a long stock and short SSF position and still collect the dividend while hedged?
 
elt894 said:
For whatever reason the MM doesn't quote the furthest out contract. They'll be quoted once the September contracts come out, I think after the December expiry.

However, the March/June spreads and STARS (spread between next day and June) are being quoted. Not sure about NLY specifically. Sometimes they're decent, sometimes they're absurdly wide.
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I agree. I really like there products, and have traded them on and off over the years. Problem is you never know when MM will support the product. Spreads have seemed to improve.

Today I could not get a quote on OXY Dec., even though I traded this contract with them a few times in the last 5 trading days. On contacting them, I got back the response we have notified liquidity providers, but we cannot assure a quote, and it went all day with no quote ?.

Obviously this lack of liquidity is spooky. Sure would not want to get caught in a large trade with no exit. Sure wish they get this resolved.
 
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