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The issue of liquidity for 1,000 lots in an index is generally not a concern.
Additionally sometime in the next few months the OEX i share will begin trading at
the CBOE. Essentially an I share is the functional equivalent of the spyder,
except on the OEX. Interestingly enough Barclays, as you may have read in Barrons
this last weekend, would like the CBOE to either change the OEX settlement to
physical ... or list a side by side OEX option that delivers the I share. As I'm
not there anymore I don't know what the outcome will be but it will be interesting
to watch. The evolution of index option trading and index share trading has
evolved so rapidly in the last few years that now, on many days, the upstairs
trading of these instrument .... especially the cash Q, now often exceeds the
listed trading. This begs the liquidity question of if more of the liquidity is
upstairs on many days how negatively will listed (floor) liquidity be impacted.
Time will tell.
Rory Lewellen wrote:
> Doctor,
>
> From my terminal, Bob's question, which is
> answered admirably, concerned a hypothetical
> trade.
>
> Perhaps the big boys eschew 1,000 lots?
>
> BobR, thank you for sharing your dream.
> This could be a recurring nightmare? <g>
>
> Rory Lewellen
>
> >>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>
>
> I ran an ORS query and your order
> doesn't exist for the date you describe.
>
> BobR wrote:
> In the meantime perhaps you could answer a
> > question. Last night I had this nightmare that I had been shrewd enough to
> > buy a 1,000 lot of OEX October 800 puts for virtually teenies on September 1
> > when the OEX was at 829. Then on Friday September 22 I wanted to cash in
> > with the OEX at 759. I placed the order in my nonbrowser based online order
> > entry window, hit the sell to close button, and waited, no fill, no fill, no
> > fill, minutes went by, then the speakers next to the monitor filled with
> > raucous laughter and a joyous cheer, "TO WHOM".
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