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Primary Article

Options Algorithms and Algorithmic Trading of Options

Abraham (ABE) Kohen
Trading Fall 2008, 2008 (1) 36-38
Abraham (ABE) Kohen
Director, Trading Strategies Group at FlexTrade Systems, Inc., in Great Neck, NY.
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  • For correspondence: abe@flextrade.com
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Abstract

The term “algorithmic trading of options” refers to slicing and dicing, tick setting, scheduling, and liquidity seeking of orders (which are orders in instruments that happen to be options). Time Slicing or TWAP-ing an option order is one example. Market microstructure differences between different instruments (such as stocks and options) can have a profound effect on the effectiveness of the algorithm. “Option algorithms,” on the other hand, are unique to options and hinge on their derivative nature. Examples of option algorithms include volatility pegged orders, delta-adjusted limit orders, and volatility dispersion trades.

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Trading: 2008 (1)
A Guide to Multi-Asset Trading Strategies
Vol. 2008, Issue 1
Fall 2008
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Options Algorithms and Algorithmic Trading of Options
Abraham (ABE) Kohen
Trading Sep 2008, 2008 (1) 36-38;

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Options Algorithms and Algorithmic Trading of Options
Abraham (ABE) Kohen
Trading Sep 2008, 2008 (1) 36-38;
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