Conventional estimates of costs of taking liquidity in options markets are large. Nonetheless, options trading volume is high. We resolve this puzzle by showing that options price changes are predictable at high frequency and many traders time executions by buying (selling) when the option fair...

Execution protocols for complex options orders allow market participants to execute multi-leg trades such as verticals, calendars, straddles, strangles, and others as a single trade at a net price. The costs to execute complex orders are significantly lower than the costs of simple orders. Part...