In our world this acronym means “Options on Futures”. Fortunately, it no longer has to signify discomfort or pain for our clients!
We are changing things in this challenging area of execution. Earlier this week, we announced our brand new algorithmic execution strategy, Striker. We are delighted to welcome this to our existing family, bringing the total number of strategies we now support to seven.

With Striker, QB has engineered a completely different type of algorithm, specifically for CME Options on Futures. Its name signifies two important things about finding liquidity at the best price:

It is a liquidity seeking strategy: The very nature of OOF execution necessitates seeking liquidity given the enormous array of instruments, strikes and maturities.
It targets the Fair Value: The intelligence of this strategy is centered around its ability to understand Fair Value, and adapt its behavior accordingly.

We are excited to provide this new service to our clients, providing them with a compelling and automated solution for execution in options on futures markets. We expect this strategy to help traders make significant productivity gains since despite the growth in the electronic trading of options, execution is still undertaken manually on the screen.

The trading that QB can facilitate is on the CME’s Globex electronic platform. It is worth noting where things are with the general electronification of this market away from the floor. Now 65% overall, but notably much lower in interest rates (55%) than other asset classes (e.g. Equity Index at 97%), mostly caused by volumes in complex Eurodollar strategies. The latest CME statistics for February 2020 are as follows (full update available here).

Asset Class	ADV	% YoY	% Globex	Month-End OI	OI % YoY
Total Options	6,110,522	73%	65%	79,301,225	7%
Interest Rates	4,294,616	77%	55%	63,133,411	6%
Equity Index	1,079,433	93%	97%	4,830,005	18%
Energy	337,031	59%	67%	6,103,772	7%
Agricultural	200,725	-17%	86%	2,588,111	-5%
Metals	125,708	145%	78%	1,846,886	27%
FX	73,009	44%	99%	799,040	16%

Source: CME

As always, this will be a learning experience. We look forward to evolving Striker significantly over the coming year and beyond. Thank you to all our clients who are supporting us on this journey and experimenting with this new and unique way of executing options on futures.

Quantitative Brokers
New York
April 23rd, 2020

OOF!