Our models allow us to:
Find liquidity in a fragmented market: With around 1.5 billion shares’ worth of options traded on a typical day, the conventional wisdom that options aren’t liquid enough to support high speed strategies isn’t completely true. By exploiting the network of relationships between options on each underlying asset, our models enable us to find hidden liquidity, and to detect profitable anomalies in supply and demand.
Generate much tighter price bounds on options: Our models generate a ‘virtual bid/ask’ for every tradable option, which in most cases significantly improves on the quoted bid/ask. This is highly useful to us both as a maker and as a taker of liquidity: we are able to offer substantial price improvement on many options relative to market maker quotes while still trading profitably; and we are able to identify incoming quotes which represent high potential trading value.
Work across the entire options market: There are over 800,000 tradable options in the US markets, and our systems monitor them all. We are able to find profitable trades wherever they may appear: in both highly traded or extremely illiquid options series and with options with a wide range of expiry dates and strike prices.
Our primary trading strategy involves utilizing these models and our proprietary technology to identify and act quickly upon mispricings across the entire options market.