Futures Options Chains

[syd697]

Hi,

Over the last few trading days, the eSignal futures options chains have not been clearing out the option bid/ask prices from the day session when the next night session starts.

I've attached two screen shots of the NYMEX April 2009 crude oil options taken at 7:33 pm EST on 3/4/09. This is part of the next day's trading session on 3/5/09, that started at 6:00 pm EST on 3/4/09, so it is about 1 1/2 hours into the session. You can see if you look at the call options from the 4550 strike to the 4850 strike, you will see they all have a time of 17:12, which is 5:12 pm EST. These are not valid bid/ask prices that were left over from the day session that ended at 5:15 pm EST. For some reason, these bid/ask prices were not cleared out at 6:00 pm EST when the next session starts.

Usually, before this issue occured, you would not have seen all the options from the 17:12 time period. They would all be cleared out. You would only see such options at the 5000 call that has a time of 18:00, or the 4300 & 4400 puts that have times of 18:29 & 18:00.

I'm just trying to find out why this issue is occuring. It only started a few days ago. It makes it difficult to see which options are really active for the trading session that starts at 6:00 pm EST. This is not just for the NYMEX. I am seeing it in the metals options on the COMEX and the grain option on the ECBOT.

Hope you can help to resolve this issue, or pass it on to the right dept. I am also using the latest version of the eSignal software.

Thanks.

[syd697]

Futures Options Chains

Here's the 2nd screen shot for the crude oil options.

[eSignal_ToddI]

From what I heard from Data Integrity:

CL options trade on Globex past when we get the settle.

For example, settles tend to come out around 15:00 eastern time and the Globex market is open until 17:15, and we get quotes for most strikes right up to 17:15. We tend not to get any new quotes for most strikes from the 18:00 open until early morning, about 4:30 AM Eastern time.

All Globex orders are Good Until Cancel. So actually clearing quotes when we get the settle is incorrect, and clearing quotes at the 18:00 open would also be technically incorrect.

[syd697]

Hi,

Thanks for the reply but I tend to disagree about the globex orders being good until cancelled. Most of those electronic globex option quotes for crude oil options that you see are automated by the designated market-makers. All of those auto quotes expire at the end of the day session at 17:15 pm EST.

If you look at the call options in the screenshot that I posted - the 4550 calls to the 4850 calls that had a time print of 17:12pm EST were no longer active bids/asks at the time of the screenshot at 19:33 pm EST. They were no good anymore and shouldn't be shown within the option chain anymore.

If you're wondering how I know they're no longer active and not valid, or not "good till cancelled" is because:

1. If I tried to buy one of those options at the ask price or sell one at the bid price, it would not go through because those bids/asks are no longer there. I've tried many times to do an actual trade based on what's seen in your option chain and the bid/ask prices are no good anymore. And,

2. If you call Globex directly and ask them if those bid/ask prices are still valid, they will tell you no, they expired at 17:15pm EST

It's true what you say that there are only a few options that come on the scene from 18:00 until early the next morning, but you should only be showing those options, not the ones left over from 17:12 pm EST

I know it sounds redundant, but for some reason, eSignal is not recognizing that those options from the day session expired at 17:15 pm EST and should not be still showing in the option chain after the new session starts at 18:00.

I'd be more than happy to get on the phone with one of you at 18:00 EST during the week and show you how these left-over prices are no good anymore.

Can you please check again to see if this is something that can be resolved. It only has been occuring in the last few days.

Thank you.

[eSignal_ToddI]

Thanks syd697,

Data Integrity is investigating into this issue further.

[syd697]

Hi,

Have you guys assessed the problem with the futures options chains yet? The old/stale quotes are definitely still there when the new session starts so hoping there can be a quick fix. Something must've changed within the esignal software b/c the issue just started happening not more than 2 weeks ago.

Thanks.

[ScottJ]

Hi,

The issue was escalated from QA to our Feed Engineering group to review. Usually takes a few days as that's a busy group keeping up with all the exchange changes. I'm sure we'll have more information in another day or so.

Thanks for your patience.

[syd697]

Ok, while we're waiting to see if there's an answer, I've got a question about Futuresource Workstation:

Would this same issue occur in the option chains of FS Workstation? I was thinking of doing a trial to FS Workstation to see if the data would be different. Is the data feed the same between eSignal & Workstation? If so, then I guess the issue would happen in both products?

Regards.

[eSignal_ToddI]

FutureSource Workstation utilizes the same data feed that eSignal does.

Regarding the clearing of stale quotes from the option chain:
Engineering is still investigating this issue and I haven't heard of any recent changes to the feed that would have changed the behavior of the clearing of quotes.

They have indicated some problems in how quotes are clearing though. One involves a clearing of bid/ask data on the feed coming to us which I heard is pending.

I'll update this thread as I receive more information regarding this issue.

[syd697]

Hi,

Any new update on the bid/ask issue of not clearing out?

Thanks.

[eSignal_ToddI]

QA has been monitoring how options are clearing (CL for example), and I've heard that the only time we clear quotes are when we get a settle. The quotes should clear by the start of market at 18:00 Eastern Time.

On 3/11, 3/12, 3/16, 3/17 - QA was monitoring, and quotes were clearing or were updating with new quotes.

As your screenshots on 3/5 suggest, there was a problem, but the cause is not known. We may have missed or not received the cancel/clear quote notification, or some restating of the BBO at the start of market.

I haven't heard of any changes that would have been made a few weeks ago.

[syd697]

Hi Todd,

Thanks for the update but the problem is definitely still existing. Look at my screenshot attached here. This is for the May 2009 crude oil put options taken on 3/18 at 20:36 - about 2 1/2 hours after the next session has started.

You can see that there are multiple bid/ask quotes still on the screen from 17:10 (which is left over from the day session that ends at 17:15). These quotes are interspersed with a bunch of bid size/ask size columns that have zeros for their size quantities. This is something new for me as I have only seen that in the last two days.

So it looks like some of the bid size/ask size columns are clearing out as noted by the zero quantities, but the actual bid/ask prices still remain in the chains.

Like I said before, when this was working properly, you would not see any bid/ask quotes in the bid/ask columns, nor would you see any quantities in the bid size/ask size columns either. They would all be blank, with the only visible columns showing any data would be those that had a time column of 18:00 or later.

Hope Q/A could still look into it again.

Thanks.

[syd697]

Any new update on this issue? As it is still occuring.

Thanks.

[ScottJ]

Sorry for the delay. Many of our key resources have been tied-up in a big project so it's taken longer than usual to research and resolve.

We hopefully have more information by the end of the week.

Thanks for your patience.