What is the time obligation to fill a market order? Can the floors sit on it for 30 seconds? Are the rules different for different floors? This is assuming you are being represented as "Customer" and not "FIRM"
Firm or customer is not relevant. Are you sending it with DMA (choosing an exchange) or "smart" route (might go to a dark pool first, then trading floor?) If it's directed to an exchange, you will receive the "best" price at that instant, and should not be delayed.You might get a better price than the bid/ask if the order flow is directed to a MM that chooses to do better to do more of the trade. If your order is directed to a smart route, it typically goes first to an options dark pool of MM willing to pay for a first look, then to a trading floor where it's printed. If the dark pool can't find a better price, it might trade on a floor with either the dark pool on the other side or a MM on the floor. This normally takes less than a second. 30 seconds sounds funky. Bob
VIX Option. Bob, It was a non-directed market order. Upon looking at the tape, it seemed that the market moved right after the order was sent. As it was for decent size (about 1/2 the offer at the time - and it was a "real offer") either I got unlucky or the market makers widend in front of me.
In front of you? Vix markets are a single list. I don't know how your "smart" order is routed. Most likely directed to a dark pool, then the floor. It's hard for me to guess if the market moved or the market makers faded from other factors. It's hard for me to believe that a dark pool participate would go from offering in the dark pool to taking the offer in front of you. It's is possible they faded their offer on the CBOE book, after making a sale to you. A lot of market makers size on the book is larger than they want to play, to get a larger percentage of a trade. If your order was directed to the CBOE, and not a dark pool, and the market was moving, you would have had a better chance of sweeping the book, IMO.
Since the VIX is single listed at the CBOE, it must be filled there. My guess is your broker sent your order to its floor broker instead of filling it instantly on the market electronically. This would allow the floor broker to potentially work the order for a better fill. The problem is if the floor broker is busy with a lot of other orders, there may be a delay before he gets to yours. The VIX is one of the few pits (along with the SPX and OEX) where there are floor brokers who will work orders. Every broker is different on the size/type of orders that they route to these floor brokers.
I think in this case I just got unlucky. The vix (especially the front month with 3 days to expiry) can get pretty twitchy and it was Friday morning when the market had just opened down 1%. I will look out for other times. Bob, I remember the days when the QQQ options were quoted 100,000 up as people vied for those retail 10 lots on the ISE.