3D Markets Archangel

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Archangel is a block crossing network for options. It was created by 3D Markets to anonymously match buyers and sellers over its proprietary electronic network.[1]

Buy-side institutions submit an order into the system, which is decomposed into its risk profile (the delta or the gamma, e.g.). Participants gain an understanding of the value and risk of the instrument, without knowing what the exact security is when the transaction takes place.

Because options market regulations do not allow trades to execute away from an exchange, Archangel users will come together, settle on the trade details via the platform, and then route out to an exchange.[2]

Archangel routes to an exchange with both sides of an order. BOX, the Chicago Board Options Exchange (CBOE) and the International Securities Exchange (ISE) currently offer electronic crossing facilities, each with a slightly different set of rules.

Its customers include multi-billion dollar asset managers, such as Fidelity, with large put orders on one side; and traditional liquidity providers and market makers, proprietary trading shops and hedge funds on the other.[3]

News

  • On January 27, 2009, 3D released Archangel 1.2.
  • On May 20, 3D Markets and the Chicago Board Options Exchange (CBOE) announced they had signed an exclusive agreement that, when approved by the Securities and Exchange Commission, would allow CBOE to match large institutional buy and sell options orders electronically during a special matching session. The agreement will allow CBOE to introduce institutionally oriented "benchmark-priced trades" through 3D's Archangel trading software. The execution price would be determined at the end of the trading day, using a methodology known as “GWAP” pricing (Gamma Weighted Average Price), similar to Value Weighted Average Price (VWAP) used heavily in the securities market. The GWAP (Gamma Weighted Average Price) auction and pricing methodologies would be proprietary to CBOE.[4]


References

  1. Archangel. 3D Markets.
  2. Options Dark Pool Readies for Launch. Advanced Trading.
  3. Options in the Dark. Waters.
  4. CBOE Seals Exclusive Agreement With 3D Markets For Benchmark-Priced Trades With "GWAP" Options Pricing. CBOE.