Optimum strategies for opening trading in options

When opening multiple series of options in a common underlying security, variations in public bids and offers across the series, and variations in the price of the underlying security during the time required to cycle through the opening, produce discrepancies in opening prices with respect to a single implied volatility. Ideally, all option series should be opened simultaneously at a price that corresponds reasonably well to a consistent set of implied volatilities, optimizes the traded volume across all series, and enables market makers to balance variations in supply and demand of public orders at advantageous prices. The first objective avoids gross inconsistencies in implied volatility at the opening. The second objective satisfies an obvious purpose for an exchange. The final objective currently is accomplished by round-robin assignment of market makers to the required offsetting positions at the opening. This paper describes an optimum procedure for simultaneously accomplishing all of the above objectives.