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Guy, some unsolicited suggestions:
>In terms of my option experiment, I have determined that I'm going to go
>with volume.
>In addition, since I bought them market on the open,
a/ Also look at open interest at close of prior date. Volume @ the open is
meaningless, and depends on what the floor wants to open first - and on size
order flow.
Large concentration of OI is the clue to difficult fills in fast market
conditions at that strike since everyone is leaning one way and rushing for
one exit simultaneously.
b/ If lot size <= 10, place limit order midway between bid/ask, you'll save
lots of money. B/a spread on volatile days with 2-3 weeks to go for
expiration is typically $1400-$1600 on 10 lots. You'll save half. Esp in
large OI concentrated strikes.
Over time, these b-a spreads add up.
Regards
Gitanshu
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