Options Trading Strategy NBBO Sweep
NBBO Sweep is the a great options trading algo that SMF Options Traders use when we're looking to get into a large position and attract additional options sellers to provide us liquidity.
When markets are moving fast and equities are putting in their turn, this feature will get you in sweeping across all exchanges at NBBO or the order limit price.
Trading Objective
NBBO Sweep Options Routing is for a trader wants to sweep the market and post residual to attract liquidity.
Options Trading Objective - NBBO Sweep
Combines Smart Options Routing and Sweep functionality. When an intermarket sweep order is being executed, only the inside quote (NBBO) at each available exchange is "protected". This means that orders resting on an exchange at prices that are inferior to the best bid or ask prices at the time of the intermarket sweep print are not considered to be "protected" and may be traded through.
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► Routes to preferred exchange first
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► Any residual will post using smart posting logic
Trading Example
Buy 300 ABC Jan 50 Calls $.60
|
Exchange |
SIZE |
Bid |
Ask |
SIZE |
Exchange |
|
ISE |
50 |
$.55 |
$.60 |
50 |
ISE |
|
CBOE |
200 |
$.50 |
$.60 |
100 |
CBOE |
|
PHLX |
100 |
$.50 |
$.65 |
25 |
PHLX |
|
AMEX |
25 |
$.50 |
$.60 |
100 |
AMEX |
|
ARCA |
50 |
$.55 |
$.65 |
50 |
ARCA |
|
|
|
|
|
|
|
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► Total NBO of 250 contracts at $.60
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► Exchange displayed in order of preference
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► Simultaneously sends sweep order: 100 to ISE @ $0.60;100 to CBOE @ $0.60; 100 to AMEX @$0.60
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► Any residual from the slices will post to the preferred exchange