Lehman unveils options algorithm

NY-based investment bank Lehman Brothers has launched a new algorithmic order execution strategy for the US listed options market. Known as Options Work and Pounce, the algorithm manages options orders anonymously on behalf of clients and opportunistically reacts to available liquidity, allowing clients to build or reduce positions while minimising market impact. The new algorithm is an extension of Lehman Model Execution (LMX), the bank's global suite of algorithms for both equities and futures

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