Efficient Spreads with dynamically adjust of long legs
under consideration
K
K Ivan
Just like TS, efficient spreads to dynamically adjust long legs to get the closest-to-the-money strike that has the same mark price as the target leg.
For example, if your target leg definition selected a 4300 Put, but a 4340 Put had the same current mark price, the system would use the 4340 strike instead of the 4300 strike.
Brian Chia
Hi K Ivan , I'm trying to better understand this request. Are you looking to buy a closer wing if the premiums are similar? This is possible if using Fixed Premium or Delta options for the child leg, but I must be missing some context. Can you share an example of what you are trying to accomplish?
K
K Ivan
Brian Chia Thanks for asking, an example selling short SPX PUT spread, selling the 20 delta and buying the -20 offset from the short strike, so -1 strike 7550 and +1 strike 7530, it would be great if at time of execution OO checks if the mid price for closer strikes like 7535 or 7540 have the same as 7530, pick that one, don't just go for the 7530, this will be more applicable closer to EOD execution, currently I am getting by using the Fixed Premium + maximum distance option for the child leg, Thanks again
r
rusty.moorman@optionomega.com
updated the status to
under consideration