Goldman Sachs Introduces New Option Algorithms
Thursday January 10, 11:41 am ET
Iceberg strategy will post small orders into the various markets holding the balance. The order placement logic dynamically optimizes the price and the size of the various orders keeping in sync with every tick in the markets. As the posted orders are executed, they are replaced with subsequent tranches until the entire order is filled or cancelled. If the market moves into the limit price, the order aggressively takes liquidity by sweeping with IOC orders.
The Delta Adjusted strategy is designed to float at a limit with the underlying security according to the option delta. The order will be temporarily paused if the price moves outside the upper and lower bounds set on the underlier, keeping the delta relevant. Additionally, this order will scan all seven option markets until the order is marketable and then sweep liquidity accordingly.
JP Xenakis, head of electronic listed options sales at Goldman Sachs, noted, "Over the past years--and particularly in the volatile market environment of the past few months--we've seen an increase in clients' incorporation of options into their overall trading strategy. The suite of algorithms and tools that we offer aids clients in finding optimal liquidity and the best prices.”
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