Goldman Sachs Electronic Trading (GSET) has launched two new US-listed option algorithmic strategies – Iceberg and Delta Adjusted. These are the third and fourth additions to Goldman Sachs’ suite of options execution algorithms and order types, which have been built on the foundations laid by SIGMA and Prowler. The strategies are available to clients trading electronically over all the GSET platforms, specifically REDIPlus and the firm’s FIX offering.
The Iceberg strategy will post small orders into the various markets holding the balance. The order placement logic dynamically optimises the price and the size of the various orders keeping in sync with every tick in the markets. As the posted orders are executed, they are replaced with subsequent tranches until the entire order is filled or cancelled. If the market moves into the limit price, the order aggressively takes liquidity by sweeping with immediate-or-cancel (IOC) orders.
The Delta Adjusted strategy is designed to float at a limit with the underlying security according to the option delta. The order will be temporarily paused if the price moves outside the upper and lower bounds set on the underlier, keeping the delta relevant. Additionally, this order will scan all seven option markets until the order is marketable and then sweep liquidity accordingly.
“Over the past years – and particularly in the volatile market environment of the past few months – we’ve seen an increase in clients’ incorporation of options into their overall trading strategy,” says JP Xenakis, head of electronic listed options sales at Goldman Sachs. “The suite of algorithms and tools that we offer aids clients in finding optimal liquidity and the best prices," he continues.