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December 19, 2012 / redman59

Broker Shenanigans in a SPX Options Trade?

With the big up day yesterday I was looking to start legging into market short position via the SPX.  I tweeted the following note pre-market:

Seeing that the risk graph is hardly readable upon double-clicking, the risk graph of the trade pre-market is below:


The trade was in the SPX.  I was looking to get long the SPX Jan ’13/Dec4 ’12 Put Calendar spread as noted in the screenshot above.  This spread shot up in price early in the morning and I wanted to get filled on it accepting the fact that I may have to pay up a bit.  The reason why I wanted to leg into a market short/hedge position was that we closed outside the 2nd standard deviation Bollinger Band.  This is not a perfect timing indicator but when we close outside that band it suggests a little euphoria and a possible stalling or pullback in the market.  Below you can see the yellow arrows that highlight where we closed outside that band the previous day and then closed back inside the band the next day:


This is one reason why I stated I was starting to leg in to a short position.  If I was wrong, I would have the ability to exit for a small loss or average in to the market short position expecting a pullback sometime in the near future.

As for my trade I attempted to put on the trade highlighted in the Twitter post of getting long the SPX 1370 Jan ’13/Dec4 ’12 Put Calendar spread for a debit of 3.95.  On the open I could see that this would not get a fill which I was hoping as we were trading up in the futures pre-market.  So I was content with paying up some.  After some cancellations I was finally filled as noted below in my “Cancelled Orders” and “Filled Orders”:


When I got filled I went to the option Time & Sales to see my order and could not find it.  The fill seemed awkward as I adjusted my fill to 4.30 and got filled at 4.15.  After some further scrutinizing I found out that I was filled on the next week (the Quarterly’s of Dec5) and not the order I submitted (Weeklys of Dec4) or was shown on my “Filled Orders” as shown above.

Below you can see that my order went through as my short strike of the calendar spread was filled on the Dec5 Quarterlys:

Also if you are with familiar with thinkorswim I went to my P/L where my position is and did the “Analyze Closing Trade” and  it came up as the short strike being the Dec4 ’12 option and the Dec5 ’12 wasn’t even available in a custom order.  So needless to say I am a little confused so I will call tomorrow to see what the hell I actually have as my short strike.  I am still happy with the analytics of the position so I am not too concerned.  The only thing that does bother me is that it cheats me out of 1 week of rolling the short strike.

Also I put this trade on for a 4.15 debit and right now the mark is showing a $87.50 profit (21.08%) so it is hard to get upset.  But either way I need to address this tomorrow. Also I wrote this wondering if anyone has had the same experience.

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