Traders Are Fleeing the Options Market

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資料來源: 華爾街日報
2017/5/7


摘要: 美國選擇權交易所達15個，且商品太多，讓市場造市者交易成本大增，有六家主要的造市者離開了市場。很多股票的選擇權沒有流動性，流動性最好的商品為s&p500、NDX、指數型ETF的選擇權，以及一些熱門科技股的選擇權。

Falling volumes and spiraling costs are pushing trading firms out of U.S. options, raising concerns about fragility in a market that investors rely on to protect portfolios. Trading has dwindled in most areas of the market, and investors and traders are grappling with increasing fragmentation.

Liquidity, the crucial ability to do trades without significantly moving prices, has deteriorated, according to interviews with market participants and data reviewed by The Wall Street Journal. Options on key indexes, exchange-traded funds and high-volume stocks dominate trading. Meanwhile, there is less activity in the rest of the listed U.S. options world.


The stresses prompted at least six prominent options market makers to exit from the business since 2012. Market makers are firms willing to both buy and sell using automated programs.


Thomas Peterffy, a pioneer of electronic options trading, said in March that his firm, Interactive Brokers Group Inc., would pull the plug on options market making.


KCG Holdings announced its exit from retail options market making last year, while UBS AG and Credit Suisse Group AG have also left automated options market making. J.P. Morgan Chase & Co. and Bank of America Corp. made similar decisions in 2014, according to people familiar with the matter.


“Most market makers congregate in the highly traded products,” Mr. Peterffy said in an interview. “It’s difficult for a market maker to maintain hundreds of thousands of bids and offers all the time.”


It is hard to pinpoint what triggered the trader exodus, but industry experts say as firms leave, liquidity gets further drained, which spurs more market makers to retrench. The dangerous feedback loop could sap appetite for options, key derivative securities that investors use to manage risk in their portfolios.


“We could ill afford to lose any more market makers at this junction,” said Alan Grigoletto, who previously worked at the Boston Options Exchange, and now runs Grigoletto Consulting Group while trading options in his retirement account.


Data show the liquidity bifurcation. Index and ETF options volume rose in April by 28% and 4%, respectively, data from the Options Clearing Corporation show. Meanwhile, total equity options volume shrank by 10% from the prior year. While volume isn’t an exact equivalent to liquidity, it is easier for the options market to absorb trades when an individual asset trades more.


Ultra-active options include those on the SPDR S&P 500 Trust ETF, the PowerShares QQQ ETF, Apple Inc. and Facebook Inc. On the flip side, on an average day in March, there was zero options activity on about 1,400 individual equities, ETFs or indexes, data from analytics firm Hanweck Associates show.


Ironically, the options industry’s willingness to give users more choices is adding to the overall liquidity problem. Investors can trade options for more hours now, and exchanges have boosted the number of products, introducing wider ranges in both expirations and strikes, the prices at which options can be exercised.


But this makes it more challenging for market makers who need to continuously provide quotes across an ever-increasing range. “The existing pool of liquidity has been stretched thinner and thinner across expirations and strike prices and exchanges,” said John Kinahan, chief executive of Group One Trading, an options market maker.


“We still post markets on a lot of different exchanges, just not as aggressively as we used to.” One barometer of liquidity is the difference between the price buyers would like to purchase an option for and what sellers are willing to exchange at.


The measure, known as the bid-ask spread, has grown 30% in the past five years and peaked in 2014, according to data from Hanweck, which calculated a weighted average of the spread across quotes on all options. And while options market makers are closing shop, the number of options exchanges has ramped up to 15 from nine just five years ago.


Smaller firms sometimes can’t afford fees to connect with multiple exchanges alongside the technology costs necessary to keep trading speeds in line with competitors, said Hazem Dawani, chief executive of OptionsCity Software, a trading systems and analytics provider. Some exchanges also have tiered fee structures that favor bigger firms that trade more.


“We’ve seen customers pulling out of equity options and trying to trade other products,” Mr. Dawani said. For example, customers are shifting to futures contracts, he said. OCC data show a 42% increase in futures volume during April.


Mr. Peterffy expressed optimism, saying options are still an “excellent vehicle for traders,” and that exchanges will eventually consolidate. “Right now we are in a transition period,” he said. “The broken market structure will be fixed.”


A lightning-rod issue in options trading has been auctions designed to provide the best prices for investors by redirecting some retail orders into a separate auction process. They have curtailed market makers’ ability to interact with retail orders, giving them less incentive to provide quotes, traders say.


Higher volatility could drive volumes and make contracts more expensive, some say. But diminished liquidity signals there is less cushion in the market. A period of severe market stress could scare investors from trading altogether.


Thin liquidity can make markets more prone to violent price swings, a scenario that some say helped cause the May 2010 Flash Crash. When volatility surges, bid-ask spreads widen to extreme levels, according to data from Options Research & Technology Services show, a volatility research and options data provider.


“In tumultuous times, it may be difficult to trade efficiently,” said Matt Amberson, head of Options Research & Technology Services. “Flash crashes are less likely to happen with healthier market makers.”