OPTION EXECUTION ALGO FOR EFFICIENT EXECUTION OF STRADDLES, STRANGLES AND BUTTERFLIES
Problem: An advanced options trader was using off-the-shelf options execution algorithms from vendors like Omnesys (NEST) and Greeksoft (GATS). However, he wanted 1 more leg to be executed and custom logic for delta management. The vendor or broker were not able to customize their systems.
Solution: We built a custom trading system with 5 legs + dynamic delta hedging.
Results: The trader reduced slippages and missed opportunities from having to execute one leg manually.
Testimonial: The options trader wants to provide his system to his friends as well.