Sourcing Option Liquidity - Cboe · Sourcing Option Liquidity Henry Schwartz, President, Trade...
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Sourcing Option Liquidity Henry Schwartz , President, Trade Alert, LLC Panelists: William Bartlett, CEO, Parallax Volatility Advisors Jean Cayla, Head of US Execution Trading, Optiver Michael C. Khouw, President, Optimize Advisors, LLC and Chief Strategist, Tradelegs, LLC Stephen J. Solaka, Managing Partner, Belmont Capital Group
Transcript of Sourcing Option Liquidity - Cboe · Sourcing Option Liquidity Henry Schwartz, President, Trade...
Sourcing Option Liquidity
Henry Schwartz, President, Trade Alert, LLC
Panelists:
William Bartlett, CEO, Parallax Volatility Advisors
Jean Cayla, Head of US Execution Trading, Optiver
Michael C. Khouw, President, Optimize Advisors, LLC and Chief Strategist, Tradelegs, LLC
Stephen J. Solaka, Managing Partner, Belmont Capital Group
Market Growth
Source: OCC, Trade Alert (2017 forecast)
PCX
EDGX
-0.15
-0.1
-0.05
0
0.05
0.1
0.15
0.2
0.25
0.3
0.35
0.0B
0.5B
1.0B
1.5B
2.0B
2.5B
3.0B
3.5B
4.0B
4.5B
5.0B
19
73
19
74
19
75
19
76
19
77
19
78
19
79
19
80
19
81
19
82
19
83
19
84
19
85
19
86
19
87
19
88
19
89
19
90
19
91
19
92
19
93
19
94
19
95
19
96
19
97
19
98
19
99
20
00
20
01
20
02
20
03
20
04
20
05
20
06
20
07
20
08
20
09
20
10
20
11
20
12
20
13
20
14
20
15
20
16
20
17
Gro
wth
Co
ntr
act
Vo
lum
e
ETF & Equity Index 5yr CAGR
Recent Growth
Source: Trade Alert (2017 forecast)
1.4B1.8B
2.0B 2.0B 2.1B 2.0B 2.0B 2.2B 2.1B 1.9B 2.1B
260m
290m
243m 285m338m
323m 387m422m
416m437m
494m
0.6B
1.1B1.0B
1.2B
1.7B
1.4B1.4B
1.5B 1.5B 1.6B1.6B
0.0B
0.5B
1.0B
1.5B
2.0B
2.5B
3.0B
3.5B
4.0B
4.5B
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017est
ETF
INDEX
EQUITY
Underlying Growth
0
100
200
300
400
500
600
700
January-09 January-10 January-11 January-12 January-13 January-14 January-15 January-16 January-17
ETF
0
20
40
60
80
100
January-09 January-10 January-11 January-12 January-13 January-14 January-15 January-16 January-17
INDEX
0
1000
2000
3000
4000
5000
January-09 January-10 January-11 January-12 January-13 January-14 January-15 January-16 January-17
STOCK
Source: Trade Alert, 28 Feb 2017
308 634
84 66
2881 3697
Contract Growth
Source: Trade Alert, 28 Feb 2017
3273
4396
0
500
1000
1500
2000
2500
3000
3500
4000
4500
5000
0
100000
200000
300000
400000
500000
600000
700000
800000
900000
1000000
January-09 January-10 January-11 January-12 January-13 January-14 January-15 January-16 January-17
Un
der
lyin
g Li
stin
gs
Co
ntr
acts
Lis
ted
EQUITY
INDEX
ETF
LISTINGS
Institutional Users
Source: SEC, Trade Alert
240
720
0
100
200
300
400
500
600
700
800
90013F Filers Reporting Options
Participants
Source: SEC, Trade Alert Q42016
Product Concentration
Source: Trade Alert, 28 Feb 2017
SPY, 16%
.SPX, 7%
.VIX, 4%
AAPL, 3%
IWM, 3%
0%
10%
20%
30%
40%
50%
60%
70%
80%
0%
2%
4%
6%
8%
10%
12%
14%
16%
18%
Average Daily Volume %
SPY
.SPX
.VIXAAPLIWMBAC
QQQ
VXX
XLF
FB
EEMAMD
NVDA GDX
GLD TSLA
TWTRAMZN
MSFT UVXYTLT
FCX RAD USO FXI
Top25
Premium Concentration
Source: Trade Alert, 28 Feb 2017
.SPX, 45%
SPY, 8%
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
0%
5%
10%
15%
20%
25%
30%
35%
40%
45%
50%
.SP
X
SPY
AA
PL
AM
ZN
.RU
T
IWM FB
.ND
X
TSLA
.VIX
NV
DA
Q
PC
LN
GOO…
BA
C
GO
OG
VX
X
NFL
X
BA
BA
GLD G
S
UV
XY
AM
D
MSF
T
GIL
D C
AG
N
JPM
EEM
SVX
Y
GD
X
XLF X
TLT
CM
G
BM
Y
DIS
XO
P
DIA
TWTR
WFC
BII
B
NU
GT
MU
QCO…
Average Daily $ Premium
.SPX, $1903.1M
SPY, $321.7M
AAPL, $129.9M
AMZN, $108.4M
.RUT, $88.5M
IWM, $67.9MFB, $66.9M
.NDX, $65.7M
TSLA, $65.3M.VIX, $59.0M
QQQ, $37.1M
PCLN, $29.1M
GOOGL, $28.2M
BAC, $27.2M
GOOG, $25.4M
BABA, $18.0M GLD, $17.6M GS, $15.7M
Premium Leaders Top 80%
Source: Trade Alert
0%
10%
20%
30%
40%
50%
60%
January-10 January-11 January-12 January-13 January-14 January-15 January-16 January-17
% T
ota
l Mar
ket
Vo
lum
e
Nonstandard Expirations
%WKLY
%QTRLY
%MONTHEND
60 per. Mov. Avg. (%WKLY)
Source: Trade Alert
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
Jan
-09
Apr-…
Jul-
09
Oct
-09
Jan
-10
Apr-…
Jul-
10
Oct
-10
Jan
-11
Apr-…
Jul-
11
Oct
-11
Jan
-12
Apr-…
Jul-
12
Oct
-12
Jan
-13
Apr-…
Jul-
13
Oct
-13
Jan
-14
Apr-…
Jul-
14
Oct
-14
Jan
-15
Apr-…
Jul-
15
Oct
-15
Jan
-16
Apr-…
Jul-
16
Oct
-16
Jan
-17
Spread Market Share
INDEX PRODUCTS
NONINDEX
Source: Trade Alert
50% 40%
6%
0%
10%
46%
63% 6%
41%
0
10,000,000
20,000,000
30,000,000
40,000,000
50,000,000
60,000,000
AMEX ARCA BOX BXO BZX C2 CBOE EDGX GEM ISE MERC MIAX NOM PEARL PHLX
Complex Order VolumeFebruary 2017
NONSPREAD
SPREAD
Source: Trade Alert
19% 11%
58%
0%
21%
39%
0%
0
2,000,000
4,000,000
6,000,000
8,000,000
10,000,000
12,000,000
14,000,000
AMEX ARCA BOX BXO BZX C2 CBOE EDGX GEM ISE MERC MIAX NOM PEARL PHLX
Reported* Price-ImprovementWeek ending 2/24/17
NORMAL
IMPROVED
Source: OCC, Trade Alert
0.0 M
5.0 M
10.0 M
15.0 M
20.0 M
25.0 M
30.0 M
2010 2011 2012 2013 2014 2015 2016 2017
Annual FLEX Option Volume
STOCK
INDEX
ETF
MDLZ, 24%
.SPX, 9%
EEM, 8%
AAPL, 6%DIS, 6%
PFE, 5%
EWZ, 5%
EFA, 4%
.XSP, 3%
FLEX OI Top25
Source: Trade Alert
Source: Trade Alert
Source: Trade Alert
Source: Trade Alert
Source: Trade Alert
