So, assuming I absolutely need to get filled within a 10 minute window before close and will take whatever they have in mind, I will be without condoms and entirely at the mercy of a gaggle of lascivious strippers/sirens, poised to roll me randomly but predictably. Sounds like I need a bigger window, but it wouldn't matter much anyway. Inspired by this metaphor wrapped insight, I've temporarily decided to take a nihilist stance on the MM slippage issue. I always knew I was in a casino anyway.
What is a realistic solution for a retail trader in your experience? Sending market orders? FOK? Or legging in with market orders in complex positions?
Now I know those were not coincidences. Even with zero commissions I am still paying for my broker's yacht. No wonder he is so nice to me.
Looked like the MM are repricing BMY/RT today. It is looking better after BMY re-submitted bb2121 filing to the FDA. @lightfightercap, I am still waiting for your response to my question. Thanks.
Earnings strangles or straddles or condors with roughly equal deltas, on equities that move less than people expect
So, similar reasoning: I should have a different opinion than market on that equity move. Thank you I appreciate the answer. Instead of doing a straight I will try that next time. How do you determine width if a strangle or condor and do you also consider wing protection?
I use a version of the expected move formula, probably similar to the ToS MMM formula. At first I did not use wings, then I did, now I don't 80% of the time. It is counter intuitive but backtesting reveal that wings=higher SD, no wings= lower SD. Losses are technically unlimited without wings, but the losses are much higher with wings than without over time. I chose reliability of returns and lower SD over higher expected value, but thats a personal choice.