Advice on executing basket of options w/ IB

Discussion in 'Options' started by jtrader33, Aug 3, 2011.

  1. I'm hoping someone who has experience trading options with IB may be able to help... I'd like to buy straddles on x number of underlyings and sell straddles on x different underlyings. I'm indifferent between the natural vs. synthetic, although I would like to stay away from the synthetic where I would have to short stock. No effort is being made to construct the basket perfectly delta or vega neutral (beta weighted or otherwise), so the basket mark will swing around a bit...however, ideally i would like to be able to price it once and have a credit/debit for the whole thing that I would trade at, say for the next 15 mins or so. My level would be somewhere between paying full bid/ask and getting done at mids. From what I can tell, it's not possible to execute more than a two legged combo order through IB that isn't native on an exchange. Curious if anyone has a creative way of this type of trade off as a basket?

    If the above isn't possible, I do have a max/min IV that I will trade each straddle at...but I'd rather not spend all day working each one individually, only to find out that pricing on the basket has moved and I have two thirds of a trade on. If anyone has ideas on how to approach this, I'd appreciate it. Thanks.
  2. rmorse

    rmorse ET Sponsor

    Because this is not a typical trade, it requires a platform that allows scripting. Actant Extreme, allows for scripting to create trading like this. The program is expensive and requires fast direct data feeds and co-location for a server. If this interests you, send me a note and we can discuss it. Oh yeah, not available through IB, but I could set you up at Penson.

  3. Thanks for the reply Bob, but I'm really just interested in figuring out the best way to do this through IB. It's only one small strat I'm considering adding into the mix, so I don't think a new account / infrastructure change is warranted. But thanks again, I do appreciate the input.