Retail Quants May Be the Next Stabilizing Force for Markets
Speaking at the Options Industry Conference recently, Henry Schwartz, vice president of market intelligence at Cboe Global Markets, showed a slide with large volume spikes in zero-day-to-expiration options for the S&P 500 Index caused by small (under 10 contracts) orders. These ultra short-term contracts are popular with retail quantitative traders and now represent the majority of S&P 500 options volume, often exceeding half the total trading in the S&P 500 itself. If there is enough retail quant trading to drive large spikes in volume, these trades may well be affecting the price behavior of the S&P 500. Moreover, if it's happening with the S&P500, it could be happening with other major markets, too.
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