Ok so here is what happend today. I was watching the price for an option that I was interested in. The ask price was like 0,29 or something with volume 40, then all of a sudden the last price quote jumps to 1,92 and volume 1. So how is it possible someone bought 1 at 1,92 if there were 40 availabe for 0,29. The ask price stayed the same and i couldnt see any change in volume.
If you mentioned the option and the timestamp this question would be answered in 10 seconds. Instead there will be 20 posts with speculations.
Most likely it was a spread that traded. The individual legs of a spread can trade through the markets on the screen. If you post the trade, we can check for you.
It was the 225/230 call spread that traded at 1.03 on the C2 Exchange. The individual prices were 3.02 and 1.99. So the spread was at a reasonable price. Since the markets were very wide on this individual exchange, the prices could post at these numbers.
Not directly related, but do you know of any way to get volume data for the complex order book? I'd like to see the frequency with which individual spreads/combos/etc are trading (not concerned with the prices).
Hmm, not aware of anyplace that breaks that information down, but someone else might. In my time and sales feed, it lists the type of every trade that takes place and marks it as such. So if trades are marked spread, someone should have this total.
For each option that trades is there some kind of identifier that links it to the other legs of the spread? In other words, would I be able to go through the time and sales and determine explicitly what spread/combo/straddle/etc. traded without using discretion (I'd be doing it programmatically)?
Not on my feed. I simply see the trade taking place at the exact same time and same exchange, while it is marked "spread"