SPY weekly options feed possibilities

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leecooker
Posts: 3
Joined: Fri Nov 08, 2019 3:55 pm

SPY weekly options feed possibilities

Post by leecooker » Fri Nov 08, 2019 4:06 pm

Hi all,
I am an /ES trader but I have gravitated more towards trading SPY weekly calls, since they are extremely liquid and (imvho) a "cleaner" trade than the typical futures transaction. Less capital reserve needed, not having to deal with a market maker like in typical retail options names, they're dynamic and create excellent entry/exit points for scalping. I have followed Bookmap reads with the /ES and I love how I can see liquidity and have extremely high levels of certainty with regards to "where" /ES is going to reverse or keep seeking a liquidity zone. I would love to be able to have this ability in SPY weekly options, it seems like the laser-fine precision I would be able to utilize would evolve this trade to an incomprehensible level -- compared to the relatively archaic toolset I currently have available to execute these SPY weekly trades. Anyone else ever have this idea or wish this was offered by Bookmap? Also, is SPY options book data available on the Rithmic and/or the other Bookmap data feeds to your knowledge? Thanks.

eeee
Posts: 7
Joined: Wed Jan 16, 2019 10:35 am

Re: SPY weekly options feed possibilities

Post by eeee » Thu Nov 14, 2019 2:47 pm

Hi leecooker,

Thank you for your feedback. We've been entertaining the idea of adding options to Bookmap but at this point in time this is not yet in the plans. Following options depth introduces some challenges that are not relevant for other markets, for instance how would we treat different strike prices and expiries - would they be separate instruments or should we somehow have to consolidate everything into a single view. If you have some insight on how you would like that to be treated please share that with us.
But regardless of direct visualization of options depth on Bookmap I think you can get already get a fairly good insight with Bookmap for your options trading by just looking at the underlying instrument. I am not sure about the added benefit you would get from visualization the actual option depth, but as noted this is certainly something that we are considering for the future.

Eyal

leecooker
Posts: 3
Joined: Fri Nov 08, 2019 3:55 pm

Re: SPY weekly options feed possibilities

Post by leecooker » Thu Nov 14, 2019 4:54 pm

Thanks for the detailed response! This is of course the issue, that there are so many different little order books per strike and expiration. If this data/order hierarchy could be automated into the Bookmap system somehow, the complexity of the different strikes and expirations would simply feed into the platform. The major difference is the segmenting of the smaller data groups in SPY weekly options, versus the massive data in less complicated groups that segments into /ES and SPY. Seems like a task that an AI could handle but I am not a programmer and I don't have the step-by-step procedural protocol to make this happen. 

I'm at least glad there is a thought of making this happen someday, which is a fantastic start to what could be probably the best development for SPY weekly options traders, since the inception of SPY weekly options themselves. Excited to see what develops in the future!

Tangy
Posts: 4
Joined: Fri Nov 08, 2019 4:11 am

Re: SPY weekly options feed possibilities

Post by Tangy » Sat Nov 16, 2019 7:29 pm

@leecooker - I've tested this in the past and can confirm that you can subscribe to individual options expiry+strike price combinations using the DTN IQFeed service.

I'll be honest with you - there's little edge to be had here. The challenge is that each bookmap view is going to be a single strike, and they can't be merged together (unless you create a plugin or something to do so).

You can go to IQFeed.net, sign up for the trial, then ensure that you get the OPRA service + Real-Time Equity Options under exchanges/add-ons. In total you're going to be spending >$130 a month for the data, so try it first to see if you actually want it.

Then you can view this to understand how to subscribe to each side/strike in Bookmap. There's a letter code for the option side + month combination, plus the symbol and strike: https://iqfeed.net/symbolguide/index.cfm?symbolguide=guide&displayaction=support&section=guide&web=iqfeed&guide=options&web=IQFeed&type=stock

Image

Anyway, good luck with it. Perhaps you can squeeze more of an edge out than I did, but honestly there wasn't much to be had. A dedicated options intelligence platform is going to be cheaper and will likely provide more value.

leecooker
Posts: 3
Joined: Fri Nov 08, 2019 3:55 pm

Re: SPY weekly options feed possibilities

Post by leecooker » Sat Nov 16, 2019 7:49 pm

Thanks for sharing your experience with IQfeed. This is a really interesting approach. I wonder if a Bookmap-type approach could provide more edge when dealing with ETF and index options due to their larger volume footprints? I would proffer that order flow notifications for retail names such as CSCO, FAANG, etc can serve a near identical purpose, but in the index options world there is a lot more volume and IV -- and these algo based order fluctuations can reveal a lot of hidden detail as to direction in such indexes/ETFs.

Either way, this is a fascinating topic and I am excited to see what may develop in the near future. 

NeoByte
Posts: 3
Joined: Mon Aug 03, 2020 1:52 am

Re: SPY weekly options feed possibilities

Post by NeoByte » Mon Aug 03, 2020 2:25 am

I know this is an old thread, but I was wondering if I could add something to it that might provide value.

It might be the case that a BM user isn't using the BM platform to directly choose his option.  The user might be tracking the underlying in order to make the buy/sell decision for a specific contract they've already decided to buy/sell.

In that case, it would be very convenient to see the bid/sell price + Volume + OI of the predefined option, and be able to buy / sell options contracts using the chart based single clicks.

Many options traders utilizing short-term Directional strategies employ this same method anyway, albeit with sets of tools rather than one consolidated tool.  Tool #1 to buy/sell, Tool #2 to analyze options opportunities, Tool #3 to view the chart(s).

Here at least #1 / #3 can be consolidated using BM.

So to summarize, the complexity of having to display all options contracts graphically is probably avoidable.  A subset of users could benefit from directly trading a pre-defined contract based on short-term underlying price movement (any current position detected by the trading platform / open positions) and any new position initiated by chart clicks.  Only the specific contract chosen by the user would be available and limits could be placed on the number and nature of contracts tracked.





 

NeoByte
Posts: 3
Joined: Mon Aug 03, 2020 1:52 am

Re: SPY weekly options feed possibilities

Post by NeoByte » Sun Aug 30, 2020 4:45 pm

Hi Eyal,

<<<But regardless of direct visualization of options depth on Bookmap I think you can get already get a fairly good insight with Bookmap for your options trading by just looking at the underlying instrument. I am not sure about the added benefit you would get from visualization the actual option depth

Let me summarize where the benefit would be (I agree it is NOT in the visualization):

1)  Visualization of the underlying depth is sufficient -- no need for visualization of the actual options contract depth
  • However, in the trading panel showing a user selected options contract volume / OI would be important as well as the Last / Bid / Ask / Mid  (and ideally #bids / #asks)
  • This information could be made available to the API as well
  • Obviously the same P&L interface would be needed to track performance.
  • Once challenge would be backtesting, without the options contract values it would be difficult to improve settings.

2)  User would select which options contract to trade before hand - BM need not be used for this selection process
  • Or possibly BM could receive an external request to activate a particular options contract on a specific underlying.
  • The concept of "reverse" also applies to call and put contracts.
  • There could be a user-selectable choice to adjust the strike price to as close to ATM as possible (or a variable distance).

3)  Utilize BM trading interface (Interactive Brokers?) to trade the options contract(s) instead of the common stock.  The same "limits" rules apply to orders, the same OCO/Bracket orders, trailing stop losses, etc.  Same ability to 'flatten', and some ability to trigger a market sell if for some reason the stop limit didnt trigger (options contracts behave a little weird with stop limits).

4)  Furthermore, if rules/alerts could be created around the order book info, this would provide a huge advantage I have not seen on any other platform.  

When trading options, speed is of the essence.  A trade which goes the wrong way must be corrected quickly.  Likewise, a rapid change in the underlying price can very quickly change the options contract value and what is needed is the SPEED and REACTIVITY of BM which is provided in the chart trading interface.

The problem I have today is that even though many of the options alerts I get end up profitable at some point in the day (in theory, not for me), in practice it is very difficult to execute those trades because of:

1) Latency -- it takes too long to place the trade
2) Timing -- without the order flow it is difficult to see when volume dries up and we are likely at the peak contract price.  I need the order flow to tell me if I have already missed the trade or if the price action has not gone as expected.
  • I also need to be able to rapidly adjust the limit order values, or initiate a market order.  This is very slow for me today. I want it to be a click away or automated.
3) Emotions -- the rapidity of contract price changes really requires automation and rule following that a human has great difficulty executing.

4) Uncertainty -- sometimes you just don't know which direction an underlying will take.  In such case I want to be able to implement a "virtual straddle" -- when I think a large move in price will happen but I am uncertain in which direction.
  • In that case I may select both a call option and a put option contract, and as BM to identify a large move in one direction, and execute the correct contract type.
  • In another case, I may want to implement an actual straddle, with the intent to dump the opposite position when a large move seems to be happening.
    • Take for example recent activity on CRM / FB / AAPL / NFLX / ZM / NVDA
    • These moves happened so quickly, I could not take advantage.

In short, I think BookMap has tremendous potential to assist options traders to gain an edge by combining capabilities that don't seem to be available anywhere else today.  You can get alerts, you can get automation, you can set orders in the broker SW, etc. but they are all unique tools.  Having this combo with BookMap would be very powerful.

Thanks!
 



 

eeee
Posts: 7
Joined: Wed Jan 16, 2019 10:35 am

Re: SPY weekly options feed possibilities

Post by eeee » Thu Sep 03, 2020 12:18 pm

Well basically what you are asking is for us to add a non-heatmap module with option information. I guess that shouldn't be a problem and I can certainly add this to the list of possible addons for the platform.

As for number 4 - can you give us some examples of the kind of alerts  you would you like us to add?

Eyal

NeoByte
Posts: 3
Joined: Mon Aug 03, 2020 1:52 am

Re: SPY weekly options feed possibilities

Post by NeoByte » Fri Sep 04, 2020 10:52 pm

Hi Eyal,

That sounds great.

I am thinking of a few different scenarios.  I understand that any initial implementation may not be this complex. 

1)  All Scenarios:  We can never be sure if the stock price is going to bounce, or blast through liquidity.  I may want to select a put / call pair to execute one or the other depending on the price action.  I may want to select a pair that is as close to "In the Money" as possible, or some number of contract positions away.  So if the liquidity is consumed and the order flow appears that it will continue, buy the call.  If the order flow appears to indicate that it will bounce lower, buy the put.

Further, as the price consumes liquidity zones as represented by the heatmap, the likelihood of a reversal increases.  Take this into account.  For example, today AAPL dropped through 4 highly liquid price zones, then reversed.  Went up, then down again the same.

A bonus scenario would also include taking into account the volume profile and thus the likelihood of volume at a certain price.

2)  Identify specific scenarios across all the active subscriptions. 
Scenario 1 :
Identify a situation where the liquidity is either at resistance or support and price is approaching.  If a large stop raid occurs (rapid buying or selling which consume the liquidity), if the price returns over the liquidity price, buy call or put depending on if we are increasing or decreasing, or give the alert / signal

Scenario 2:
Identify a situation where the liquidity is either resistance or support and price is approaching.  If the liquidity resistance or support is tested, but not broken, and the price action indicates a reversal, buy a put or call depending on if we are increasing or decreasing, or give the alert / signal.
May want to specify a minimum number bounces off of support/resistance and the amount of time the price stayed near the liquidity level.  

Scenario 3:  
Rapid increases in either buy or sell pressure.  These are unusual and extended changes in price which may last for anywhere from a 10-20 seconds to 10-15 minutes.  Buy in the direction of price action and look for signs of reversal.  Examples from this week are Netflix / NVDA / AAPL / CRM / ZM.

Look for signs of institutional transactions (large orders) and take it into account as confirmation of price action.

3)  If not actually making the buy/sell, at the very least these situations can be alerted, or a buy/sell signal drawn on the chart.  That would be an excellent start.

Thanks!
Ryan


 

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