Just a heads up that the CBOE will be converting all SPXPM options to SPXW options for this Monday. So, as of Monday, you will see two sets of monthly SPX options. One will expire in the morning (SPX) and one will expire in the afternoon (SPXW). Currently SPXW were just the weekly and quarterly options and not the regular monthly ones. You will most likely see much tighter quoted markets with these new options as they will be traded on the on the CBOE's hybrid trading system vs their Hybrid 3.0 system. This means there will be multiple market makers quoting and "more" electronic the regular SPX which is "more" pit traded. http://www.cboe.com/publish/regcir/rg17-054.pdf
This is great news, the old system was byzantine and the week that you had to use PMs for your weeklies did seem to have worse liquidity.
Would be awesome to trade SPX vs SPY commission wise, not to mention settlement would be all cash instead of risk of exercise.. Thx for heads up.
No, the regular monthly SPX options will continue to trade on the CBOE's "old" hybrid system. There is still tremendous liquidity here, but not really advantageous to the smaller customers. With this system, there are wider quoted markets (even though the real market might be very tight) and potentially much longer times for fills if a broker is "holding" an order vs. it is residing in the electronic book or if it is an electronic quote.
Unless you need to fill market orders that's really an illusion. In my experience SPX options fill a nickle off the mid every time unless there's a non-market maker order in there obscuring the real mid. Those are pretty easy to spot because they don't move or get bigger/smaller while the actual mm bid/asks are always getting bigger/smaller and moving around.
SPX B/A spreads will always be wide...compared to SPY -- SPY is the most liquid/highest volume thing in options, by far
Nope. In negotiated market, you get much tighter in SPX then in SPYs. SPYs dominate the screens but in terms of total vega/rtVega traded, SPX is higher. AMM guys don't like executing tied, it's not their business model and they are not keen to get involved. Fucking retail flow on delta is way easier then being there when someone like me wants a few million of Dec vega against a tie.