Where are all the little fills coming from?

[Ayn Rand]

I trade a lot of options. I get a lot of individual 1 or 2 or 3 contract fills for bigger orders.

Example

Between 9:44:47 - 9:45:01 on a sell limit order near the money and expiration week I got the following fills

-3 (9:45:01)
-4
-4
-4
-4
-4
-4
-1
-1
-1
-2
-1 (9:44:47)

Why all the little fills?

 

[traider]

are they combo orders?

 

[Robert Morse]

The fills are most likely from an automated market maker. They are filling a small lot, checking the stock, checking to make sure that and other trades did not change their model, hedging, then doing more.

 

[easymon1]

I trade a lot of options

Bulk of trades calls and puts?

 

[smallfil]

Only the market maker knows for sure. Sometimes, I will break down my sell orders if I see the stock is running up. Just trying to get a little bit more profits. Otherwise, I sell it all at once. It could just be the market makers breaking up his orders to make it seem a lot of small traders are selling. Here is the key. When the prices on those orders are the same say, $3.00 per contract, that is suspect to me because it seems like just the orders of market makers. The same applies on both the bid and ask prices since, market makers take both sides of a trade. Small traders trying to get out will not bother to play these silly games as their goal is just to close their positions.

 

[FSU]

If all the trades came at the same time, I'd say it was one of two reasons. The order was sent to 1 exchange and was filled by multiple market makers. Or it was broken up and sent to multiple exchanges and when the price became favorable, was then filled. Wasn't clear from you post if the trades occurred between the two times you posted or at both times only. If the first, I would agree with Bob Morse's post.

 

[Ayn Rand]

Thanks for the replies. The trades take place over the time interval. The trades take place at 6 different times over the 9:45:01 - 9:44:47 time span

What is interesting is that all of the 4 lots and the 3 lot traded at 9:45:01.

Small block fills happen a lot. I used this trade as an example because it had a multitude of fills.

Thanks again.

 

[easymon1]

I trade a lot of options.

Ayn, are the bulk of your trades buying calls and puts?

 

[smallfil]

Thanks for the replies. The trades take place over the time interval. The trades take place at 6 different times over the 9:45:01 - 9:44:47 time span

What is interesting is that all of the 4 lots and the 3 lot traded at 9:45:01.

Small block fills happen a lot. I used this trade as an example because it had a multitude of fills.

Thanks again.

You are welcome. It is always good to be aware of these things which could affect the outcome of our trades.

 

[OptionsOptionsOptions]

I have had option Market Orders filled the same way, and at the same price and timestamp. I have never noticed the fills at different prices.

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