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Re: Broker plugin [Re: dmac] #474034
09/09/18 14:45
09/09/18 14:45
Joined: Jul 2017
Posts: 784
Z
Zheka Offline
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Zheka  Offline
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Joined: Jul 2017
Posts: 784
Interesting! Thanks for sharing.
Was it a frequent occurrence? and in what underlyings?

Re: Broker plugin [Re: Zheka] #474039
09/10/18 12:08
09/10/18 12:08
Joined: Feb 2018
Posts: 27
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dmac Offline
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dmac  Offline
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Originally Posted By: Zheka
Interesting! Thanks for sharing.
Was it a frequent occurrence? and in what underlyings?


It's much more likely to happen in underlyings with heavy open interest, just because there are more combos on the books for any given strike. Less so with more thinly traded contracts.

Put a few combos on your quote page for the FANG stocks and do the math on the spread mid as quoted versus the one you calculate from the individual legs and you'll see it.

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