I've made the assumption for awhile now that the high water mark for short term (day trading) liquidity would be in something like the SPY. Its obviously heavily traded and utilizes electronic quoting which helps keep the spreads narrow and with near instant fills. Be it right or wrong I've also assumed that roughly 1,000 contracts would be the upper limit to practically transact in a single lump order. Which for an ATM call that's priced at ~$2.97 would equate to $297,000. Obviously that's a large amount of money and represents a considerably larger notional value, but relative to the shear size of the SPY it still seems rather small. I also looked at the SPX, from what I understand its not a good instrument for day trading due to the way orders are processed. Granted my entire above premise could be largely flawed being that it relies on a LOT of arbitrary assumptions. Hopefully though someone on here can help set me straight by pointing out where I've clearly gone wrong .
Good question, but why are you asking this...1,000 contracts in a single lump sump order is hell of alot for anyone. You would move the price if you did.
Perspective I guess... I know there are people on this forum far more experienced then I and I'm hoping they can give me some insight in this context into what is considered normal vs big on some of the largest instruments.