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> Ok, the trade may not be or isn't doable as a long butterfly or a package,
> but legging in, which is the default using a brokers' screen, it could be
> doable or there is a higher likelihood of being filled, right?.
> For example,
> I'd have to enter four orders to place the package and each may be handled
> by more than one individual. The prices I look at are on a prime-broker
> account screen, not pcquote or esignal and so on.
>
> If it's taboo as it were to bid such a spread, is it also
> uncustomary to bid
> the reverse of the hypothetical example, that is, a short butterfly spread
> that results in a debit? I'm not sure why you'd do that, though.
Colin, my only concern would be getting all four legs done before the close.
Sometimes one or two of the four legs will be off because some market maker
is attempting to dress the close to reduce his haircut. My experience has
always been that if you cannot get the trade done in the last hour of
trading, you will not likely get it done on the close (in pieces or as a
package). There's nothing worse than going home with three of your four
legged spread done.
My experience is that MOC orders where there is continuous liquidity or
trading, are filled at the closing bids and asks, providing an order is not
an abnormally large size in relative terms. I'd classify OEX options trades
as highly liquid index activity, and I'd be astonished if one was not able
to accomplish the equivalent of an AON order.
It seems to me that if or when this hypothetical opportunity presents itself
going into a close on any liquid underlying, the probability of successful
fills is reasonably high and if one leg isn't filled, but (unfortunately)
covered at the (next) open, that's the inherent risk of the trade.
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