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What Is the Optimal Execution Strategy for a Very Large Derivatives Order?

Algorithmic strategies like TWAP/VWAP, which slice the order into smaller pieces, minimize market impact and effective spread.
Greeks.Live10.11.25

What Is the Optimal Execution Strategy for a Very Large Derivatives Order?

The optimal strategy for a very large derivatives order is typically to use an algorithmic execution strategy, such as Time-Weighted Average Price (TWAP) or Volume-Weighted Average Price (VWAP). These algorithms slice the large order into smaller pieces and release them gradually over time.

This minimizes market impact and slippage, reducing the effective spread and achieving a better overall average execution price.

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