Lehman Brothers has launched a liquidity search algorithm for the US listed options market.
Lehman's Options Work and Pounce algorithm is designed to provide price improvement for client orders.
The algorithm manages orders anonymously on behalf of clients and opportunistically reacts to available liquidity, allowing clients to build or reduce positions while minimising market impact, says Lehman.
Frank Troise, MD and head of US equities electronic trading products at Lehman says: "Delivery of algorithmic tools that access electronic options liquidity is in direct response to growing client demand for advanced derivatives trading capabilities."
The new strategy is an extension of Lehman Model Execution (LMX), the bank's suite of direct access algorithms, which is available for both equities and futures.