Forums  > Trading  > Automated Options Market Making  
Page 2 of 2Goto to page: 1, [2] Prev
Display using:  


Total Posts: 1062
Joined: Jun 2007
Posted: 2018-08-17 11:37
@ES. I think I have heard somewhere (probably here) that some of the bigger equity HFT shops who pushed into option markets did that. They treadted options like any other asset, and options of the same asset with different strikes/maturity as highly correlated assets:)

Don't know how this worked out though.

Ich kam hierher und sah dich und deine Leute lächeln, und sagte mir: Maggette, scheiss auf den small talk, lass lieber deine Fäuste sprechen...


Total Posts: 38
Joined: Sep 2009
Posted: 2018-08-17 15:08
@Maggette: That's one of the rumors from the Virtu thread. Doesn't seem too far-fetched, competing with speed vs mathematical modeling is fairly orthogonal so I imagine both could coexist.


Total Posts: 12
Joined: Mar 2008
Posted: 2018-08-17 21:40
EL: FWIW a recruiter at a well-known OMM contacted me a few months back and I had some modest success getting him to explain their process. I sent a note to the address in your profile.


Total Posts: 1765
Joined: Jul 2004
Posted: 2018-08-21 02:25
EL: I believe getco did something like that on kospi a few years back.

The difficulty I would see in your approach is that, apart from out or the money options, minor underlying move will trigger option repricing and I would think the queue position is less valuable than say with cash markets.
Also, depending on the product, quite some trade can happen inside the spread. (I see from an equity index option pointy of view).

This would imply the need to look for a suitable product, not something that could be deployed to all markets.

Qui fait le malin tombe dans le ravin


Total Posts: 5
Joined: Feb 2018
Posted: 2018-09-07 04:44
almost 10 years back. nothing on the planet trades like kospi did then. near the money options were tick spread, huge size, tiny value per contract, lots of retail. major tech inefficiencies gave a big edge to the first movers there who were clipping 8-9 figures pa but basically nil now.

EL: this happens but it's not market making. most options AMM desks have what they call electronic eye. on sharp delta moves they sweep stale orders like a latency arb. pure HFT firms could play here but the opportunity is kinda limited. when I worked on options desks the serious money was in collecting/keeping bid/ask and the electronic eye profits were just a lagniappe or a convenient way to flatten our greeks.

don't think it makes much sense to do HFT quoting. some exchanges give special privileges or PFOF to DPMs or have pro-rata priority and you have to run so many tickers that you'll inevitably get hit by someone else's electronic eye. turnover was slow even in the liquid penny pilots. if you invest enough in infra to quote competitively, you might as well build better vol models, quote stuff with more juice and figure out how to manage risk better than scalping for a tick.


Total Posts: 161
Joined: Mar 2018
Posted: 2018-09-08 19:19
@loltrading are you saying that as delta move fast you sweep stale orders in spot or vol?

also, how is it a tradeoff between vol mols and infra?
Previous Thread :: Next Thread 
Page 2 of 2Goto to page: 1, [2] Prev