Who is writing 1 or 2 or 3 unit option contracts?
- Thread starter Ayn Rand
- Start date
Little options players?
Robert Morse
Sponsor
Were these spread orders?
There are so many possibilities. Your broker may have split your order among the exchanges to preserve your time precedence against identical offers arriving later. Your counter-party, which is probably software rather than human, may offer tighter spreads for small orders on the theory that small traders are less informed, and your counter-party may be written to look like a small trader for that reason. You may be filling invisible orders put in to help some program see what is going on within the limits of the visible best bid-ask spread. It is also probable that your counter-party written to keep various mathematical properties of its options portfolio as balanced as possible, so it does a tiny trade with you then a tiny trade with others that partially hedge what it did with you, then trades some more with you, and so on (or maybe you are one of those hedging trades).
I am not on expert on this, so maybe someone with experience on the other side of these trades can tell you what set of these or other scenarios is most likely.
Thanks everyone. I was not intending to try and use the data in any way. Just curious. Who is playing in the puddles? I am going to check out time and sales for options on other stocks on Monday just to see how common the practice is.
My underlying stock was GS. I don't usually look at time and sale for options but did last Friday. For GS - all contracts - it seemed that over 50% of the transactions, perhaps more, were for less than 5. A good number were for 1 contract.
And example of a fill I got on 10 contracts
10:11:18 1
10:11:27 1
10:11:31 1
10:11:31 7
My underlying stock was GS. I don't usually look at time and sale for options but did last Friday. For GS - all contracts - it seemed that over 50% of the transactions, perhaps more, were for less than 5. A good number were for 1 contract.
And example of a fill I got on 10 contracts
10:11:18 1
10:11:27 1
10:11:31 1
10:11:31 7
- Limit Order - in between the bid /ask.
- Underlying moves slightly against your position.
- Your order gets filled a few contracts at time.
Robert Morse
Sponsor
Was this a spread or single leg. If it was a spread and you bid/offer mid-market, it is typical for a MMs algorithm to do small lots and then check the market conditions and then do more.
I trade a lot of calendars. I will often just open with a 1 lot position to get an idea of what is a realistic price to pay if the spread is wide. Eg, if the spread is quoted at 1.20 - 2.00, I will see if my 1 lot trade fills at 1.5, and if not, then I will gradually increase it until it fills. Then I will pile in with my full allocation.
I do the same on closing.
On some high price stocks like BKNG, where a simple long call can cost 80 ($8,000) per lot, it's understandable to see why most orders are for very small sizes like 1-2 lots.
I do the same on closing.
On some high price stocks like BKNG, where a simple long call can cost 80 ($8,000) per lot, it's understandable to see why most orders are for very small sizes like 1-2 lots.