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MM questions

Joined
17 September 2004
Posts
884
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8
1. Do all MM's have the same bid/ask spread for an option? ie, if I look up on commsec for bid/ask prices are these the best prices? Would I be better off with a different broker?

Are the MM's tied to the broker?

2. Does the MM look purely at the BS fair price option valuation, then work out thier bid/ask from this? Do they ever look at fundamentals or charts (or are they happy that this has all been allowed for in volatility etc)?

3. How were options valued before 1972 (Black Scholes)?

Thanks, Mark.
(slowly working my way there).
 
1. No ,

No depends if its a/ live price b/ how much volume..sometimes on the small low vol series a market maker will just sit there fishing both ends of the spread

Commsec seem ok as a starting point, my broker (not commsec) tells me who is in the que either side (ie if they are retail or a Market maker). A discount broker like commsec prob wont tell u that, so therefore you wont know how the game will be played if you either trying to enter or exiting the position ;-)

No, MMs are brokers (if thats what you mean) BASED on the ability to make trades. They dont need a broker to do this.

2. No..the words fair price and market makers shouldnt be used in the same sentence..hence if it only you and a market maker in the series then you will get shafted no matter what fair pricing model you use......(better to walk away or go to another series or stock).

The only thing that attempts to keep the price fair is volume. Very active series (normally close to or atm) will give a fairer price then something further away.

3. Dont know, whatever it was its redundant and doesnt matter ;-)
 
Thanks for your response. I see that I better get a decent broker for this.

If I was thinking of a strategy where I would be buying options that are just out of the money with 1-2 month expiry, would this have a decent liquidity where I wouldn't be competing with only the MM?

Are there any prefered sources of historical data for backtesting? I am looking at www.boursedata.com.au
 

I think you have to stick to the most liquid stocks like BHP, the banks etc to get the liquidity you want.

 
Even liquid stocks can be a problem.

If you go to far away from the money even on liquid stocks it may be you and a market maker in that particular series. There is a bigger market closer to the money (naturally) and thus less a problem getting a fair price and getting filled.

Dont forget NWS ;-)
 
I've been trying to see if market markers (for ETO's) are obliged to provide a sell quote if I make a bid, so far only found this which suggests they should be better than they are atm (see link below).

DTM or Mark mentioned in another post some time ago that if you call up comsec's options desk they are obliged to provide a quote but when I did they said they don't have a quote but just a theoretical price for that option. According to the ASX info below they should have a quote in 30secs. I wonder how it works?? Basically I think that when things look unfavourable they just kill the market, so even if it has got high open interest I find it hard to buy calls during low volatility.

......Hmmm, think I've figured it out, I think the condition relating to quote requests means that if there is a long dated option expiring more than 9mths from now I may not get a quote. So I assume very few mm's would choose to make a continuous market. I assume the quote requirement for series with less than 9mths is to account for effect of decay.

 
This link to the ASX site might help. http://www.asx.com.au/investor/pdf/notices/Clm15105.pdf. Scroll down to page 2 and about a third of the way down on that page you will see that all Aussie optionable shares are listed and details those that have continuous quotes, quote requests, etc. Also shows how the more liquid options have several market makers, whereas some may only have one MM for a quote request. As primarily an options trader, I go through this list from time to time to make sure the charts I watch are only those that have plenty of MM's competing with each other. Doesn't guarantee a good fill but the chances are somewhat improved!
 

Thanks very much Sails, that was very helpful, wish things were more liquid, I might have to look at CFD's sometime later. So much for my well laid plan, no instrument to execute it with! (Had my eye on going long PRK, a low risk trade imo (if there is one) so no mm wants to lose money). Might have to find some warrants but even less choice there.
 
RichKid, I haven't traded warrants as yet, but when comparing to option pricing (identical strike and time to expiry) they seem to be very expensive. I think CFD's would be a good way to go for straight directional trading - eliminating the problems with time decay and risks of IV values falling out of long option premiums.

Yes, very frustrating to find a good entry and no suitable instrument with which to trade! I have been working on understanding the greeks, etc, for the last couple of years so I can just trade the opportunities that come up on the most liquid shares attempting to benefit a bit from time decay and a bit from direction. Still mostly in experimental stages, but feel it is slowly starting to come together.
 
it is a common misconception that warrants have better spreads.

compare:

XYZWMA - 25.5/27 $20 strike, 4:1
XYZ1F - 103/107 $20 strike

when taking the ratio into consideration, the real spread becomes:

25.5 x 4 = 102 (worse than at market ETO sell)
27 x 4 = 108 (worse than at market ETO buy)

= 102/108
 
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