How to make use of big swings/spikes in Bid/Ask? The following data is snapshot data on last Friday: Code: Call Strike = 1.0 : 2024-03-08-Fr-093526-EST S=1.9000 B=0.50 A=1.25 BS=192 AS=120 2024-03-08-Fr-095059-EST S=1.9600 B=0.80 A=1.10 BS=182 AS=20 2024-03-08-Fr-100633-EST S=1.9600 B=0.80 A=1.05 BS=178 AS=1 2024-03-08-Fr-102206-EST S=1.9900 B=0.85 A=1.05 BS=124 AS=1 2024-03-08-Fr-103741-EST S=1.9000 B=0.75 A=1.05 BS=179 AS=106 2024-03-08-Fr-105314-EST S=1.8900 B=0.75 A=1.05 BS=210 AS=114 2024-03-08-Fr-110849-EST S=1.8800 B=0.75 A=1.00 BS=2 AS=20 2024-03-08-Fr-112424-EST S=1.8200 B=0.70 A=0.90 BS=5 AS=2 2024-03-08-Fr-113957-EST S=1.8000 B=0.70 A=0.90 BS=2 AS=2 2024-03-08-Fr-115532-EST S=1.9100 B=0.80 A=1.05 BS=2 AS=106 2024-03-08-Fr-121105-EST S=1.8300 B=0.70 A=1.00 BS=148 AS=110 2024-03-08-Fr-122641-EST S=1.8000 B=0.75 A=0.90 BS=2 AS=16 2024-03-08-Fr-124215-EST S=1.8100 B=0.70 A=0.90 BS=1 AS=16 2024-03-08-Fr-125749-EST S=1.7700 B=0.70 A=0.90 BS=3 AS=20 2024-03-08-Fr-131324-EST S=1.8100 B=0.65 A=0.95 BS=199 AS=107 2024-03-08-Fr-132857-EST S=1.8000 B=0.20 A=0.95 BS=587 AS=109 2024-03-08-Fr-134432-EST S=1.7900 B=0.60 A=0.95 BS=212 AS=101 2024-03-08-Fr-140005-EST S=1.8000 B=0.65 A=0.95 BS=200 AS=107 2024-03-08-Fr-141541-EST S=1.8300 B=0.65 A=0.95 BS=216 AS=31 2024-03-08-Fr-143114-EST S=1.8300 B=0.80 A=0.95 BS=2 AS=31 2024-03-08-Fr-144649-EST S=1.8400 B=0.65 A=0.95 BS=188 AS=31 2024-03-08-Fr-150224-EST S=1.8400 B=0.80 A=0.95 BS=5 AS=33 2024-03-08-Fr-151803-EST S=1.8500 B=0.75 A=0.95 BS=2 AS=31 2024-03-08-Fr-153341-EST S=1.8700 B=0.30 A=0.95 BS=228 AS=31 2024-03-08-Fr-154914-EST S=1.8800 B=0.70 A=0.95 BS=218 AS=21 2024-03-08-Fr-155247-EST S=1.8600 B=0.75 A=1.20 BS=5 AS=114 Legend: S : Underlying stock price B : Bid A : Ask BS : Bid size AS : Ask size Question: Why is it not possible to make use of these big price changes? : Bid 0.20 at 13:28:57 Bid 0.30 at 15:33:41 Ask 1.20 at 15:52:47 Or can one make use of them in some options strategies? Which?
Just some ideas: We need new order types with reversed logic, as addition to the current types: Code: Current order types: BUY_TO_OPEN Ask (fill happens at >= Ask) SELL_TO_CLOSE Bid (fill happens at <= Bid) SELL_TO_OPEN Bid (fill happens at <= Bid) BUY_TO_CLOSE Ask (fill happens at >= Ask) Additional order types needed: REVERSE_BUY_TO_OPEN Bid (fill happens at <= Bid) REVERSE_SELL_TO_CLOSE Ask (fill happens at >= Ask) REVERSE_SELL_TO_OPEN Ask (fill happens at >= Ask) REVERSE_BUY_TO_CLOSE Bid (fill happens at <= Bid) Then for the said cases one would do: Code: REVERSE_BUY_TO_OPEN the Bid 0.20 REVERSE_BUY_TO_OPEN the Bid 0.30 REVERSE_SELL_TO_OPEN the Ask 1.20 Maybe the birth of "Reversals" or something that Goldman Sachs and others may freely use this idea of mine Such Reversals would help to stabilize the markets by preventing big spikes in Bid/Ask. B/c now traders would have a method at hand to make use of such big spikes, ie. such market anomalies. Other technicals: Maybe we now need to keep book also of these additional values: Reverse_Volume Reverse_OpenInterest But luckily nothing else . So this is easily doable.
True, but you don't get an immediate fill for your limit order. The above presented new reversal concept allows to get an immediate fill.
Hmm. the above concept maybe has some bugs... :-( Will check again... Yes, is buggy b/c would allow an immediate arbitrage. Need a different concept... Back to the drawing board...
%% 2 proven methods; 1] have a resting order that sells on open price gap; 2] real estate does that all the time, but takes longer LOL. Best businesses do that most of the time, like WMT buys by the truck load + sells smaller profits