You will have to divide the quantity column by 100 to get the number of contracts traded. So for SZCNH for this week, it is 600 contracts (representing 60000 shares). For a very liquid option like SPY options it is easy to place a limit order and get all the fills you want. For the particular trade above, I actually placed three different buy orders for 200 contracts apiece (averaging down demon at work again!), the executions taking place at 12:30, 12:39 and 13:26 as shown in the Ameritrade listing below. Got out of the entire trade (600 contracts ) at 3:39pm @ 2.21. My entries are always limit orders, and depending on the liquidity and spread I determine what price to place the limit and have a reasonable chance of being filled in short order. I might move that limit order a while until I get my complete fill. When I placed the first order at 2.48, the bid was 2.47 and ask 2.48. So I was basically hitting the offer, and because of good liquidity got all filled. When i decided to get out (600 contracts) the bid was 2.22 and ask 2.23, I place a limit order to sell at 2.20 (I just wanted to get out!) and got filled at 2.21. Market orders on exit? In the last one year that probably did not happen more than twice for options (and that out of despondency). I want to be in control of slippage suffered and therefore always use limit. Once of those I used market order was on ISRG option last year (think October, the week I gained 51%), it was expiration day and all my attempts to get out at limit were not successful - tiny fills while the price kept going against me; finally replaced the remaining with a market order and got out at a whopping loss, the option would have eventually ended the day worthless. The timestamp on my top/bottom trades (entry/ exit) are the time of the first execution and the last execution, not necessarily for all the executions. My orders are all online. Size is dependent on what the performance of the strategy has been, along with the liquidity of the option, and time to expiration, but in any event not exceeding 50% of my account. In general I avoid options where the spread is such that the stock needs to move by more than 1% in my favour to break-even on the spread.
thanks for the reply. yeah, my guess was, as i do, you use generous limit orders when you want to make sure you get out. as you pointed out, sometimes that doesn't work when it's really moving against you. i understood the # of contracts you were trading (ie: the POT puts were 200 contracts, not 2000). my question was about running into size issues with even 200 contracts on individual stocks (not so much SPY options, as their liquidity gives you lots of room to grow). i've run into fill issues with less than 100 contracts, so i figured you must run into the same thing with several 100. what i've seen is, for example, i getting executed on 1/2 or 1/3 of an order and then having the spread widen in an 'ok this guy wants 60 contracts, if he wants the remaining 25 executed, he's going to have to chase it and take the newly engineered wide spread' rape. open interest in those POT puts was less than 1000, so i figured 200 contracts at once was probably pushing the envelope in terms of size you can get into and, more importantly, get out of.
Yes, I made 17 trades this week, like posted on the journal. The details of the stocks? Sorry, I post only the top/bottom trades.
You are very correct. Sometimes I get filled on a fraction, and if I do not want to chase the option, that might be it for the trade - with a tiny exposure it is not likely the trade will make it to my top/bottom list for the week. Like I mentioned though, stocks like POT are fairly liquid if you are not too stingy (I mean if you are willing to pay the spread!). The trades on friday were two (100 contracts apiece obtained at different prices) on entry. The open interest is only 1000 but 5000 contracts changed hands the same day. In many of such trades I put the limit order (many times between the bid and ask) and let it hang there until my time-limit for entry is over (say 30 minutes). Very often the execution will take place.
Neke, in cases where it hangs there, you can often get a fill by pulling the order and sending it through a different exchange. But like you said, with very liquid options like POT, there's rarely enough of a spread to really worry about.
Neke, What kind of indicators do you use? Simple Trendlines? Any Occilators? How are you able to scan so many stocks, indexes at once and still find intra-day setups?
Neke, I have ameritrade also, do you use Command Center or Strategy Desk for your intra day trading ?