Burned or Legite Fill?? SPX Options

Discussion in 'Order Execution' started by Q12, Apr 23, 2007.

  1. Q12


    If the "time and sales" for the two option contracts in a spread show that the worst possible price (assuming you got bought the highest and sold the lowest print of the day) was 6.50 and you were somehow filled at 7.90, is there any way this could be legit? The spread also closed on Friday at 6.50, and the spooz opened down a quarter point and then traded lower (in the spreads favor)... supposedly the order was filled near the open.
  2. Do you have access to actual time and sales, with bid/ask and time for each option? If so you can see if it was a reasonable fill, if not you may be looking at incomplete data. Options can print out of sequence and sometimes not print at all in the SPX because it is not electronic. If you wish to say what the spread was and when it was filled I can tell you if it was reasonably fair or not. If you don't care to do that, you can call the CBOE and they will look at the actual time and sales and tell you if it was out of line.
  4. jessie


    That can certainly happen, and it's legit, spreads do not necessarily conform to the posted high & low. Using market orders in any thin market (and spreads are often a thin market, even if the underlying isn't), is risky, and you can always enter limit orders on a spread. That doesn't mean that it's not a crappy fill, though, and you can always complain about that.
  5. Q12


    Thanks guys-

    I figured it out... after looking at the run last night I realized they bought back the wrong spread (supposed to be the 1505-1525 and for some reason they did the 1500-1520)... they are correcting on their dime so it's all good. Thanks.