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Delta One, a peer-to-peer securities lending and balance sheet management platform, has implemented multi-leg reversal and conversion orders, affectionately referred to as ‘jelly rolls’ by options traders.
The equities trading platform uses options to pair-off participants and is available exclusively for customers of Dynamex Trading, which has offered options brokerage services catering for the securities lending market since 2009, and whose senior management founded Delta One in 2016.
"Without jelly rolls in the system, users had been forced to use more traditional, less efficient means to deal with expiring contracts up until now,” explains Harris Bock, CEO at Dynamex Trading and co-founder of Delta One, explains.
“With the implementation of multi-leg orders, Delta One can manage the entire lending cycle from start to finish," he adds.
Brandon Neer, managing partner of Delta One and chief technology officer of Dynamex, adds: "The use case of matching lenders and borrowers using a single strike and expiration combination has been gaining momentum, but the inability to roll exposure to other strikes and expirations has been noticeable.
“The addition of jelly rolls completes the lifecycle of typical securities lending transactions using listed options."
The 2.0 update, which went live in November, is the first major overhaul of the architecture to be released by Delta One since the platform went live in 2019.
