Complex options strategies figure prominently in discussions of the options market, but little is known about their frequency or why they are traded. We present a novel approach to group the legs of complex trades reported by OPRA into complex packages, and thus identify the strategies. We find...

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...