- Options Price Reporting Authority
The Options Price Reporting Authority (OPRA) provides, through market data vendors, last sale information and current options quotations from a committee of participant exchanges designated as the Options Price Reporting Authority.
Current OPRA participants include:
- NYSE Amex Equities (AMEX)
- BATS Options (BATS)
- Boston Stock Exchange (BSE)
- Chicago Board Options Exchange (CBOE)
- International Securities Exchange (ISE)
- NYSE Arca, and
- Philadelphia Stock Exchange (PHLX)
Acquisition and Distribution of Market Data
The Securities Industry Automation Corporation (SIAC) gathers the last sale and quote information from each of the participant exchanges. SIAC then consolidates and disseminates that data to approved vendors.
The OPRA data feed provides:
SIAC is responsible for the OPRA systems and networks. CBOE serves as the OPRA administrator.
Messages per Second
A significant gauge of the level of options market data is messages per second (MPS). Messages per second is just that - the number of messages (i.e., options trade and quote data) reported to OPRA by the options exchanges during any given second of a trading day.
Date Peak MPS 1992 100 1995 500 1998 1,500 July 2000 4,000 September 2005 83,339 July 2007 573,000 January 2008 701,000 (projected) July 2008 907,000 (projected)
Commentators suggest that there are three underlying causes of the increase:
- Penny Pricing: In early February 2007, the options industry started switching its minimum price increment from $0.05 (nickels) to $0.01 (pennies). Because options prices are automatically updated as soon as the underlying stock price changes, the potential existed to update at five times as many price points.
- Dollar Strikes: The standard stock option strike prices are in increments of $2.50 at and below $25, and in $5.00 increments for strikes above $25. A Dollar Strike Program would potentially increase the number of available options contracts by five times.
- Reg NMS
- ^ Options Price Reporting Authority. "Options Price Reporting Authority". http://www.opradata.com. Retrieved 2007.
- ^ a b Reuters America LLC (2004-04-09). "Release No. 34-49175; File No. SR-07-04; Concept Release: Competitive Developments in the Options Markets" (PDF). http://www.sec.gov/rules/concept/s70704/s70704-6.pdf. Retrieved 2004-04-09.
- ^ a b c Daniel Safarik (2007-03-22). "The Options Penny Pilot Has Been Successful So Far". http://www.wallstreetandtech.com/resourcecenters/etrading/showArticle.jhtml?articleID=198500105. Retrieved 2007-03-22.
- ^ Joe Corrigan (2007-03-22). "Updated Traffic Projections" (PDF). http://opradata.com/specs/2008_Projections.pdf. Retrieved 2007-07-10.
- ^ John Brasher (2007-01-05). "One-Point Strike Stock Options". http://www.callwriter.com/newsletter/one-point-strikes.htm. Retrieved 2007-01-05.
- ^ American Stock Exchange (2007-06-08). "Penny Quoting Pilot Program Report" (PDF). http://www.amex.com/amextrader/sysInfo/ANTE/PennyPilotReport_06082007FINAL.pdf. Retrieved 2007-06-08.
- ^ Ivy Schmerken (2007-08-27). "Skyrocketing Market Data Message Rates Leading Trading Firms to Consider Hardware Acceleration". http://www.wallstreetandtech.com/features/showArticle.jhtml?articleID=201802269. Retrieved 2007-08-27.
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