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: 1
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. 

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