You have been granted access to this page through First Click Free. Subsequent use of TabbFORUM will require logging in. If you don't have an account, registration is free.

Videos

  • Rail_thumb_abramowicz

    Bye-Bye Bond Dealers? Investor-to-Investor Trading Gains

    Bond markets are seeking other ways to trade bonds outside of banks, as investor-to-investor trading gains strength. Bloomberg’s Lisa Abramowicz reports on the new market makers in bond trading on ...
     
  • Rail_thumb_cukier

    Big Data Is Better Data

    Self-driving cars were just the start. What's the future of big data-driven technology and design? In a thrilling science talk, Kenneth Cukier, the data editor of The Economist, looks at what’s next for ...
     
  • Rail_thumb_battlefin-jim_creighton_of_manifold_partners-waks-oct_9_2104

    BattleFin – The Making of a Quant Fund

    Best known for its seeding tournaments that crowdsource the world’s top quantitative investment talent, BattleFin has put its money where its mouth is, launching  BattleFin Asset Management, which ...
     
 

More Video | Podcasts

Advertisement

13 November 2014

Options LiquidityMatrix™

The Options LiquidityMatrixTM is a monthly analysis of options market activity published by TABB Group with analysis and statistics from Hanweck Associates.  The report includes options trading volumes and statistics on execution metrics for each US listed options exchange and the industry, using data sourced from the OCC and Premium Hosted Database (PhD),a joint offering from Hanweck Associates and the International Securities Exchange (ISE).  

 

The Options LiquidityMatrix™ includes data and analysis separately for penny options classes and all options trades. Charts and data tables in the report include:

  • Options volume by exchange on year-to-date and monthly basis.
  • Options market share by exchange for AMEX, BATS, BOX, C2, CBOE, ISE, ISE Gemini, MIAX, Nasdaq, Nasdaq BX, NYSE Arca and OMX PHLX.
  • Options market quality for penny options classes and all options trades, including
  • Average bid/ask spread
  • Average bid/offer size
  • Number of series traded
  • Average trade size (contracts)
  • Average trade value
  • Percentage executed at bid/ask
  • Percentage of time at best bid/offer
  • Percentage of time at best bid/offer and greatest size


TABB Group's Options LiquidityMatrix for October 2014



Options LiquidityMatrix Historical Downloads

You can download archived LiquidityMatrix data as a PDF file. Use the drop-down to select year and month.




Don't miss our Equities Liquidity Matrix!

 

About MIAX Options:

MIAX is a fully electronic options trading exchange that addresses the needs of the retail customer and trading community by offering a low cost operating structure, superior customer service and outstanding technology. The trading platform has been developed in-house and designed from the ground up for the unique functional and performance demands of derivatives trading. The MIAX Options Exchange’s unparalleled system throughput is in excess of 24 million quotes per second. The average latency for a single quote on MIAX is 27.6 microseconds for a full round trip. For more information, please visit www.miaxoptions.com

 

 

About PhD:

Premium Hosted Database (PhD) is a joint offering from Hanweck Associates and the International Securities Exchange (ISE). PhD is a hosted tick database offering historical data and analytics as a managed service. It offers full OPRA data, including all quotes and trades from all exchanges, level-one data, implied volatilities and Greeks, and full corporate actions. Additional information about PhD is available at www.hanweckassoc.com/phd.

 

About Hanweck Associates:

Hanweck Associates is a leading provider of high-performance, low-latency data and risk analytics to exchanges, banks, broker-dealers, market makers, portfolio managers and central counterparties. With the hardware-accelerated Volera™ analytic engine, Hanweck pioneered the use of graphics processing units (GPUs) in the financial industry. For more information, visit www.hanweckassoc.com.

Add a Comment

You must log in to comment.