T&S ambiguity

Discussion in 'Options' started by BBSLamer, Aug 2, 2020 at 2:59 AM.

  1. BBSLamer


    Anybody know of a way to see for sure if the trade was a buy or a write? Analyzing T&S isn't too helpful in my experience, as the fills are often at the mid, and even if it's right at the bid or ask, there's no guarantee there either (it's pretty common for your buy orders to get filled at the bid and sell at the ask). I would think this sort of information should be transparent. Ideas?

  2. guru


    What if two people buy/sell the options between each other? One buys and the other one sells, so is the option(s) bought or sold?
    I think on about 5% of my orders I provide liquidity, meaning that my orders are traded against another person, so we both buy and sell/write. And market makers also complain about retail traders having priority on many options orders, which means retail guys trade between each other somewhat often.

    Another case is when sometimes I open a position one day and close before expiration, so I do both buy and sell on the same option, but not really “write”.

    You may also deal with hedges where no one is buying or writing standalone options, just hedging.
    Some people adjust, build or exit different legs of a strategy over time.

    But I’m also curious if someone tracks this to some level, and under what assumptions.
  3. Check what the IV was at the time of the trade and then see if it went up or down, that's usually a good indicator, then couple that with bid/ask/mid and you can make a fair assumption as to buy or write or close if there is enough open interest.
  4. ffs1001


    I'm very interested in the T & S functionality myself and a couple of my previous posts have indicated as much. What would help my trading and improve my profit figures would be :

    - if we could see what the combo spreads were (eg if someone trades a strangle, I'd like to see what price was paid for that strangle, and which two legs were involved). Nope, the TWS "Combo Orders and Trades Scanner" doesn't quite do it.

    - if we could download the T&S figures easily then I could write something in Excel to guessimate the above.

    I realise the TWS API has something that may allow this, but I'm a bit out of my depth.
  5. qlai


    Why should it be? Trading for big guys is a game of hide and seek - hide intent and seek liquidity.
    guru likes this.
  6. guru


    Tracking combos may be easier, since previously @FSU responded to you that they are trackable:

    Though as @qlai pointed out, those can also be hidden. There are techniques for splitting combos into smaller pieces that are no longer as meaningful.
    But strangles are easy and you may be able to get them even from ThinkOrSwim for free.