Hey guys, I just have a quick question. I was checking out tradestation and ran across a screenshot that showed the volume of bids/asks at different strike prices. It looks similar to Level II quotes and was wondering if there are any services that provide this? I've searched both the forums and the net looking for something similar to an open book but for options. Seeing all open orders would be very helpful for me, but I haven't found anything. Any information to point me in the right direction would be most helpful. Thanks
You're not quite seeing what you think you are. In Level II, you're seeing the open orders at different levels on all exchanges. What you're seeing with options is the best quotes from regional exchanges. So, say you see 10 bid at .10 20 bid at .20 CBOE may be on the "inside bid" at .20 with the 20 contracts, but they may also have 100 bid at .10 and you won't see it. Instead, this data set might be showing BOX has 10 bid at .10. When it shows there are multiple orders at a level (i.e. 200(3) bid at .20), it means something like BOX, ISE, and CBOE all have an inside bid at .20 for a total of 200 contracts. In Tradestation, if you bring up the market depth window, you'll see that each bid/ask level is a different exchange.
As the other poster noted, this is not level 2. In a different format what you see are the regional quotes, which look something like this: bid ask 2.5 (CBOE) 2.6 (ISE) 2.4 (ISE) 2.6 (CBOE) 2.4 (BOX) 2.7 (BOX) 2.3 (PSE) 2.8 (PSE) 2.2 (PHLX) 2.9 (PHLX) 2.1 (AMEX) 3.0 (AMEX)