Goldman Sachs adds new algos to electronic options trading offering

Source: Goldman Sachs

Goldman Sachs Electronic Trading (GSET) announced today several new features of its US listed options offering, including three new algorithms (Pegging, Volatility Limit, and Strike), the ability to auto-hedge options orders, and a more diverse offering of connectivity to broker-neutral trading and pricing platforms.

The addition of Pegging, Volatility Limit and Strike brings GSET's total number of advanced options trading strategies to seven.

  • The Pegging algorithm allows the user to peg all or a portion of an order to the bid or offer.
  • The Volatility Limit algorithm orders will take the user's assumptions on volatility, interest rates and dividends to monitor the market and sweep all liquidity when marketable.
  • Building on the success of the SIGMA options smart router, Strike offers the elements of market sweeping, pegging, stealth and discretion all in one algorithm.

An additional enhancement to the options algorithmic suite is the ability for customers to auto- hedge their positions. This enables option traders to automatically execute equity hedges in real time as the option order is filled. This logic will leverage the available suite of equity algorithms to achieve immediate execution, while minimizing market impact by interacting with Goldman Sachs' dark pool, SIGMA X, the largest in the U.S. (Tabb Group, 2008). Auto-hedging can be applied to any of the existing options algorithms.

Clients can access Goldman Sachs' electronic options capabilities via REDIPlus®, the firm's award-winning Execution Management System, or via a third party, broker-neutral platform. GSET is investing significantly to make its complete electronic options offering available via several OMS and EMS providers, including Derivix, thinkorswim and Bloomberg EMSX. Additionally, GSET completed integration with Orc Software's Advanced Execution Platform, Orc Trading.

JP Xenakis, head of electronic listed options sales at GSET noted, "In this period of sustained market volatility, clients applying options strategies are faced with an entirely new set of opportunities and challenges. We've seen a significant increase in client demand to trade options electronically. We recognized the importance of providing clients with the appropriate algorithmic strategies and trading tools - and enabling them to access these resources from the EMS of their choice."

GSET has offered electronic options trading for nearly 10 years and executes over 1.2 million US options contracts each day. In addition to the latest options algorithms, clients can take advantage of SIGMA smart routing, four additional algorithmic strategies, connectivity to all seven US options exchanges, and complex order types, including butterflies, straddles, strangles, and custom strategies. GSET also provides execution of global equity options and global options on futures.

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