Only go with the Feb calls if you buy deep in the money calls. That way you're not paying for much, if any time value, just mainly intrinsic value. Otherwise, go out to March or later options.
Of course, I'd better buy ITM calls with a delta of 1 if I am going to play it over the weekend right? My idea however is risking a small amount like max. 50 cents/contract to make an equal small amount so a smaller delta might be better.
Actually, the CBOE through its CBOEdirect platform trades RUT, DJX, and OEX during extended trading hours (8:00 am to 9:15 am Eastern time). http://www.cboe.com/common/pageviewer.asp?file=20011221.doc&dir=acnews&head=news announcements&sec=7 news announcements FOR IMMEDIATE RELEASE CBOEdirect Adds Another Product; S&P 100 Index Options To Begin Trading CHICAGO - December 21, 2001 - The Chicago Board Options Exchange® (CBOE®) today announced that on Thursday, December 27, 2001, options on the S&P 100® Index (OEX®& XEO(sm) will begin trading on CBOEdirect(tm), the exchange's new screen-based trading platform. The S&P 100 Index options are now the third product available for extended trading hours on CBOEdirect, as the system's gradual expansion continues. CBOEdirect debuted on October 26, 2001 with trading of options on the Dow Jones Industrial Average(sm) Index (DJX). On December 14, 2001, options on the Russell 2000® Index (RUT) began trading in extended trading hours on CBOEdirect. CBOEdirect actually replicates CBOE's trading floor on a screen, with liquidity providers making two-sided, continuous markets. CBOEdirect operates from 7:00 a.m. to 8:15 a.m., prior to the opening of regular trading, which begins at 8:30 a.m. (Chicago time). Timber Hill is participating as the initial Lead Market Maker (LMM) for the platform's extended trading hours session in the S&P 100 Index options. CBOE, the world's largest options marketplace and the creator of listed options, is regulated by the Securities and Exchange Commission (SEC). For additional information about the CBOE and its products, access the CBOE site on the World Wide Web at http://www.cboe.com.
Def, You stated above, and in previous posts that IB's best preferences exchanges on auto. How exactly is IB determining that? OPRA decimates a field with that information to data vendors or direct subscribers, however, we test the accuracy every few months and have found no statistical correlation. We have come to the conclusion that it is misinformation. I would be very interested and appreciative in an accurate way to determine the state of RAES, Poets, etc. For background, we trade a minimum of 12,500 contracts a day, average of 25,000 +, in 1200 to 1800 tickets per day. Thanks in advance for any light you can shed on the subject.
Essentially the automated options exchanges are the ISE and the P-Coast. If you put an order in between the spread, you will change the quote immediately. In contrast, if you are trying to split the spread on the CBOE, Philly, or AMEX, the crowd/specialist will see your order and will decide if he wants to trade against your order or show your order (and then change the quote). If you are going to hit a bid or take an offer, the ISE and the P-Coast are once again auto-execution. The CBOE is supposed to be autoexecution; however, sometimes I do get a delay trying to get a fill against a book bid/offer (this is with a non-locked or crossed market). The Philly is also supposed to be autoexecution; however, they have a wierd rule that "halts" autoexecution on certain options once a certain amount of options trade (i.e., if the Philly is 50 up in GE options once 50 options trade within 15 seconds then the Philly disables autoexecution of 30 seconds so the specialist will not get picked off). The AMEX is not autoexecution at all, and I try to avoid this exchange unless they have the best bid/offer. Thus, based on my experiences, I would rank the option exchanges as: (1) ISE (2) P-Coast (3) CBOE (4) Philly (5) AMEX
def, this looks similar to your ranking of the exchanges vs The Knight's, particularly the ranking of ISE and AMEX. nitro
metoxx, to be honest i'm not sure how IB determines who's electronic. Definately if ISE is best market that is a layup for a quick fill when it shows the best price (and the order is a non broker dealer order). For the others, I'll see if I can get an answer and post it as the info may be proprietary.
I appreciate the reply, however, the question is more data field based, not who appears to fill better. Freehouse, your experience is similar to ours, except we do better @ the AMEX, than the CBOE. The real problem is consistency, sometimes they post, sometimes they don't. Fills are for a size with no relation to their posted size, they post 100, fill 2; post 1 fill 100. Def, you are not the only broker that I have heard say their firm can identify an auto situation. I don't believe it can be 100% identified. The DPM can arbitrarily turn it off, there is a trigger that turns off on a news story, locked or crossed usually turns off, etc. The real question is the field sent out by OPRA what you are looking @ or what your best is keyed to?
metoxx, i did receive word that the opra feed is inconsistant at best in regards to the data field. Main reasons are as you say, the specialist can arbitrarliy turn autoex off. In fact, I was told that offical AMEX policy is that the autoex is always on - which we all know is untrue. I did not receive feedback yet on how IB routes or determines which market has autoex on. My guess is that it starts with the opra feed and knowledge gets incorporated into the algorithm based upon experience and other factors.
I read an interesting article in the current edition of Futures Mag about the importance of execution when trading options. It really answered the questions I had when starting this thread. Basically the article goes over the importance of always trying to split the spread to raise the odds of a winning trade and how the market makers will try to draw liquidity away from your posted order by posting a similar price with small size thus redirecting customers orders to their execution venue. It's better then to cancel, the MM will cancel too probably and then you replace on the exchange where the MM was. He/she has no reason to match your price then. I am considering trading index options. I trade QQQ options but I am interested in SPX , NDX options and saw there are options on SOX which is very volatile. What's best QQQ or NDX, what about the liquidity in the SOX ?