Is near the close the best time to get these trades off?. Other than a limit order which are hard to fill near mid?.
Anytime after the first 30 minutes of trading. ES flies are typically 2-wide and can often see an immediate fill 50 cents off mid. You can usually sit at mid and get an eventual fill if intraday vol is low.
That's the thing. 50 cents amounts to 10% vig...steep even round turn. One's edge must be much bigger to overcome those costs.
Ahh, no, I was referring to a fly that begins neutral and say 20 wide on strikes. That fly was 1-1.25 wide IIRC. I actually get better fills in SPX. I don't know why I choose ES this time. I trade a lot of RUT, but not other index products.
Also, is it fair to say that the biggest obstacle to implementing these multi-legged options strategies is the relatively large transaction/execution costs?. What is the instrument in which these transaction costs are lowest?. One thing is trading on the floor, and quite another from a screen miles away from the bid-ask. TIA.
Closed both near exp on strike touch. Best % return for the month, but wish they had been a lot larger.
Transaction costs are critical with stuff like SPY, while the spread is only 4 pennies on a fly. You can enter at your leisure, but exits can be hard to come by at mid. You have to have a target that is a substantial multiple of your all-in spread.