Quantitative Brokers (QB) announced the launch of a first-ever, intelligent algorithm for options on futures markets. It is a dynamic agency algorithm for options on futures markets that incorporates both real-time co-integration and implied pricing calculations to determine fair value.
The strategy also employs QB’s dynamic passive and aggressive child order placement logic, and the algo’s transactions are displayed in the firm’s complementary Transaction Cost Analysis (TCA) platform, another industry first. Striker will initially support options on CME Treasury futures, with coverage expected to expand across other CME futures instruments during 2020 including options on Eurodollars, equity index, energy and agriculture products.
Robert Almgren, chief scientist and co-founder at QB, said in a statement: “Striker is the culmination of an extensive research effort by our team to understand how to successfully trade options on futures, where liquidity can be a challenge, and where the fair price on any individual contract is hard to determine without looking at the entire complex.”
QB is an independent provider of advanced execution algorithms and data-driven analytics for futures and US cash treasury markets. Christian Hauff, CEO and co-founder, said in a statement: “While there has been tremendous growth in the electronic trading of options on many CME futures instruments, execution is still undertaken manually on the screen. Striker will assist traders to greatly improve their productivity by using this advanced algorithm to seek liquidity at the best price.”
Striker will be accessible through the numerous EMS platforms that QB is integrated with, including QB’s proprietary application on the Bloomberg App Portal, and will be provided as a broker-neutral solution as per all QB’s algorithms for futures markets.