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American Capital Agency Corp. Message Board

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  • charlotte4032005 charlotte4032005 Sep 9, 2012 2:03 AM Flag

    Call Options Undervalued

    I actually have had decent luck setting a sell near the midpoint of the bid/ask depending how far along we are in the cycle. I wonder though has anyone else noticed the following scenario: bid 2.95, sell 3.35 with say 153 contracts showing on the bid and 78 on the sell book, you enter even as few as 1 contract for a midpoint price e.g buy 1@3.05 and instantly there will be 154 contracts showing on the bid book for 3.05, if you tweek it up to 3.10 the book will instantly show 154 at 3.10 so you raise it another 0.05 and it happens again until you generally go above the midpoint of the original range.
    I have to wonder if my 1 contract is at the top of the list or - a casualty to HFT high frequency trading and the other 153 have been snuck first and I am at the end of the line. This was not always the case, especially when the AGNC options were not broken down to the penny bids for near strikes it has just started happening within the last 6 months or so. This is viewable from the optionshouse platform.
    Interestingly enough I logged into my old optionsxpress account and it only showed my 1 contract as the only 3.05 bid (submitted through BATS) with the other bids scattered at lower bid prices from different clearinghouses (not sure if optionsxpress is pulling in all the bids on their detail view and it probably has not been updated since optionsxpress was acquired by Schwab. Has anyone else noticed suspicious HFT activity? Thoughts??

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