Tuesday, December 18, 2007

Options Trade Execution Alogorithm Lehman Brothers 2007


NEW YORK, November 29, 2007

Lehman Brothers, the global investment bank, today announced the launch of Options Work and Pounce, a new algorithmic order execution strategy for the U.S. listed options market. The new strategy is an extension of LMX® (Lehman Model
Execution), Lehman Brothers’ market leading global suite of algorithmic order execution strategies, available for both equities and futures.

Frank Troise, managing director and head of U.S. Equities Electronic Trading Products,commented, “Options trading continues to migrate to electronic venues. We are committed to staying on the forefront of electronic trading by constantly expanding our product offering.

Delivery of algorithmic tools that access electronic options liquidity is in direct response to growing client demand for advanced derivatives trading capabilities.”
Options Work and Pounce, which leverages the award-winning LMX platform, is designed to provide price improvement. The algorithm manages orders anonymously on behalf of clients and opportunistically reacts to available liquidity, allowing clients to build or reduce positions while minimizing market impact.

“Providing our clients with innovative electronic execution tools is of paramount importance in today’s markets,” commented Brian Fagen, managing director and head of U.S. Equities Electronic Trading and Program Sales. “We are thrilled to offer these expanded capabilities to our clients.”

With its reliable, high-performing environment, the LMX suite has seen more than 100% volume growth in 2007 over the prior year. The LMX suite of direct access algorithms complements Lehman Brothers' broader offering of electronic trading tools and analytical services. LMX was ranked #1 algorithm for hedge funds by Alpha Magazine in 2007.

Lehman Brothers’ Equities Capital Markets, which reported record net revenues of $4.4 billion in the first nine months of fiscal 2007, is consistently recognized across product lines and continues to demonstrate top-tier market positions, as evidenced by a series of #1 rankings. In 2007, the Firm ranked #1 for the fifth year in a row in Institutional Investor’s All-America Research Team survey, and #1 in Institutional Investor’s U.S. Equity Trading poll. Lehman Brothers was the first broker to execute four million electronic order book trades in one month
on the London Stock Exchange (LSE) and ranked as the #1 dealer by trading volume on LSE,Euronext and Xetra. The Firm also ranks #1 by program trading volumes on the NYSE. In addition, Alpha magazine ranked Lehman Brothers #1 in Algorithmic Trading. Investors ranked the Firm #2 for Overall Equity Derivatives Quality for Europe in 2007, up from #10 in 2005.

The Firm was also named the #1 Prime Broker in Europe and Japan, and was awarded 42 “Best in Class” awards for excellence in the 2007 Global Custodian Prime Brokerage survey.

Source: Media release of the company

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