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Fills for RUT

1 reply, 2 voices Last updated by John Locke 2 years ago
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    • #14942

      John Locke
      Keymaster
      @john-locke
      Going to The Trading Triangle LIVE 2016Locke In Your Success CoachAPM2Trade JournalsUltimate Income Trader Workshop

      Hi Yves,

      Please review lesson 21A in the FIT library, also see below…

      1. Do you have the same problem for the midpoint?

       

      You will find that posted mid-price on complex options spreads is very variable. The mid-prices themselves will fluctuate considerably from moment to moment, and where they will actually fill will often fluctuate considerably both over and under the posted mid-price at any given time. In other words, mid-price only provides a very general idea of where the spreads might fill and we don’t know for sure where that price will be as the price depends on many different factors, many of which we as traders may not know about.

      There are ways of narrowing down where the spreads are likely to fill however that is a much bigger topic than we can cover here. We do cover this topic in APM2 material and several of the other more advanced programs. Although for most traders, I would recommend not worrying about getting the best execution and focus on areas in trading that have a bigger impact in results.

       

      1. How long do you keep standing on the midpoint before you adjust price?

       

      If you order isn’t taken immediately, then the market isn’t interested in the order based on the current asset price, the current market pressure, and the other orders currently on the exchange. Therefore, I wouldn’t expect the order to fill unless something changes on there end. IE  asset price moves unexpectedly, a shift in market pressure or other orders come in where it makes sense for him (the computer in this case) to fill the order at that price. So if you have the time, you can sit and see if one of those things happen then let it sit but occasionally remove and reinstate the order to avoid it from being stale.   One the other hand when you need to get it done, then I’d simply reprice it, and I would reprice it aggressively, IE not 5 cents at a time, more like 15 cents, as you want the order to fill without getting into the IA algo’s.

       

      1. Do you select another route besides SMART because the SMART routes of most brokers is basically a front run on the direct exchange – so not an optimal fill

       

      On the RUT all options run through CBOE, so I send it there although in my opinion it doesn’t matter. I’ve had orders on both smart and directly to CBOE and I can’t say I’ve ever witnessed a difference consistently enough to choose one over the other. I believe in equities that trade on many exchanges, smart would be helpful as it may be worth it to pay a few cents for the opportunity to offer the order to multiple exchanges.

       

      1. Does the spread get smaller closer to expiry so easier fill?  (I currently haven’t traded it close to expiration)

       

      If you’re asking do mid prices become more predictable based on DTE, I would say no

      Do bid ask spreads get closer, at closer DTE?  Yes, however the fluctuations about where they might fill in regard to mid have no correlation to DTE (within reason). Again, actual fill price is dependent on multiple underlying factors effecting the asset, at that instant.

      Realize that “easier to fill” is completely dependent on expectations and conditions. They all fill quite easily at the right price ???? and yes, determining that price at any given time can be challenging and take a lot of experience, and paying attention.

      The good thing, however, is that if you’re way off on the price, and can stay out of the algo loop, 99% of the time it’s going to fill at the best price for that instant anyway, so I wouldn’t be overly concerned about it.

       

    • #14935

      Yves Soete
      Participant
      @ys.soete@gmail.com
      Points: 215
      Rank: Newbie

      So I have been trading the BB but I feel the midpoint is not getting filled very well.

      Specifically for adjustments, I trade it currently not with 10 contracts as advised in the videos but i trade it with max 3 lots (so 2x scaling in if the RUT moves up) my questions:

       

      1. Do you have the same problem for the midpoint?
      2. How long do you keep standing on the midpoint before you adjust price?
      3. Do you select another route besides SMART because the SMART routes of most brokers is basically a front run on the direct exchange – so not an optimal fill
      4. Does the spread get smaller closer to expiry so easier fill?  (I currently haven’t traded it close to expiration)

      Thanks!

       

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