Tag Archives: option algos

Options Exchanges Prepare For Worst Cases; “Algos Gone Wild”

NEW YORK (Reuters) – A year after Goldman Sachs <gs.n> bungled a software upgrade and lost tens of millions of dollars from unintended trades, the 12 U.S. stock options exchanges have crafted new rules for dealing with erroneous transactions, according to draft documents seen by Reuters.

Under the proposed rules, unintended trades placed by professional traders will usually have their prices adjusted to levels as close to their fair market value as possible, while wrong trades by retail customers will be mainly be undone, five sources with knowledge of the matter told Reuters.

The rules are meant to protect investors from algorithms gone wild and other sources of market turmoil. Regulators and exchange operators across equities, commodities and other markets have been taking steps to prevent mistaken trades from spiraling into collapses, a rising concern as trading grows increasingly automated.

Read more: http://www.businessinsider.com/r-exclusive-us-options-exchanges-craft-rules-to-fend-off-turmoil-2014-8#ixzz3Bof6Z9Ce

Citi Launches Intelligent Options Algorithms

 

Citi has added intelligent options algorithms for U.S. equity options to its suite of advanced electronic trading strategies.

The algorithms are intended to provide traders with speed, liquidity and the desired degree of exposure, using Citi’s proprietary smart routing logic, which provides liquidity and price improvement while avoiding information leakage.

“The intended users of the new option algos are buy-side traders looking to intelligently work option orders systematically using Citi’s advanced algorithmic logic,” said Kevin Murphy, head of U.S. options electronic execution at bulge bracket bank Citi. “Traders get the added benefit of having each ‘child’ order eligible for liquidity and price improvement opportunities via Citi’s proprietary smart order router.”

Platforms combining execution, analytics and risk management have become the de facto standard of care for market practitioners as algorithmic and high-frequency trading strategies have proliferated across asset classes.

Fellow bulge bracket bank Credit Suisse recently launched in the Asia-Pacific region AES Guerrilla 2012, an agile trading strategy to assist investors in sourcing liquidity.

Credit Suisse’s AES, or Advanced Execution Services, team developed Guerrilla 2012 for clients trading in Asia-Pacific equity markets, whether they are calm or volatile, liquid or illiquid.

“Guerrilla has long been one of the most popular trading strategies in the U.S. and Europe, and now Guerrilla 2012 brings our algorithmic offering to clients in Asia,” said Hani Shalabi, head of AES for Asia-Pacific at Credit Suisse. “This is one algorithm which is flexible and intuitive enough to adapt real time to current market conditions.”

The options space is a comparatively late arrival to cutting-edge trading techniques, but it is catching up. Continue reading