Order-Driven Market Making System

FlexOPT-OMM is a powerful and flexible order-driven market making platform for advanced options traders. It provides a comprehensive user interface for configuring an order strategy. The pricing engine can be fully customized by the trader and loaded into the system as a dynamic module. Positions can be grouped and viewed at various levels, and a robust hierarchy of risk limits ensures that the trader can manage risk in real-time. The risk limits can be specified for position quantities, as well as Greeks such as Delta, Gamma and Vega.

FlexOPT-OMM provides sophisticated hedging strategies, allowing traders to hedge their positions in real-time based on triggers such as execution events and market data ticks. The hedging logic can also be customized by the trader and loaded into the system as a dynamic module.

FlexOPT-OMM also offers a large number of options analytics allowing the trader to view portfolio projections and possible scenarios according to variations in input factors, such as the underlying price, volatility, dividend rates, etc.

The volatility curve is modeled by the trader and is based on the implied volume of contracts. The curves are plotted in real-time, and various offsets can be applied visually to change the shape of the curve.

Features / Benefits

  • Load option chains based on underlying symbol, expiry date and strike price.
  • Preload a portfolio from the prior day, carryover of previous positions.
  • Customizable pricing model and hedging strategy.
  • Customizable volatility model with intuitive and powerful GUI to manage volatility curves.
  • Simple GUI to start and stop auto orders for individual contracts or all contracts collectively.
  • "Test" mode to check orders without submitting to an exchange.
  • Flexible rules to replace orders (based on the magnitude of the price change).
  • Adjustable reinstatement logic to replenish orders that have been filled.
  • Customized selection of underlying instruments (e.g., a futures contract can be chosen as the underlying proxy instrument for cash options).
  • The underlying instrument can be selected on the basis of liquidity.
  • Risk Limits for positions and Greeks, at contract, strike, expiry and underlying level.
  • Hypothetical scenarios to plot P&L based on variations in underlying price, volatility and Greeks.
  • System configuration settings stored in XML file format, which can be loaded and viewed in any XML browser.