>imagine trying to do this against 1000 symbols How about doing this not with 1000 equities but with say SPY options, or any other high volume options on cboe

>imagine trying to do this against 1000 symbols How about doing this not with 1000 equities but with say SPY options, or any other high volume options on cboe ? As long as your derivatives are ATM or say max 2 hops from ATM on either side & open interest is high, it would work ok.