When running a portfolio of options strategies, a severe limitation was the inability to monitor opportunities beyond a limited set of tickers. Traditional methods of monitoring meant that very often prices moved away before an opportunity could be spotted and traded, and it typically took a very long time to add newer variations of multi-leg options strategies.
We built an entire end-to-end real-time options scanner, that can identify statistically significant mispricing in the options market, for any custom multi-leg options strategy. The scanner uses time-series and cross-sectional comparisons to identify mispricing, on minute-by-minute data.
The entire universe of liquid options in the US markets can now be scanned, for opportunities arising across a variety of multi-leg strategies. It takes all of 5 minutes to setup any new multi-leg combination. The execution is fully automated via broker APIs which means that orders are placed as soon as opportunities arise, resulting in better fill rates.