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10 April 2015

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


US Listed Options Volumes Rebound from February; MIAX and BATS Continue Market Share Growth

March US listed options volumes rebounded 11% compared to a slow February. Meanwhile, MIAX and BATS delivered triple-digit volume growth rates compared to March 2014 levels.

 

US listed options volumes came in at 337 million contracts for March 2015, 11% higher than last month’s 302.5 million contracts. However, it is still 5% short of March 2014’s 355.6 million contracts. Total volume for the quarter measured 992.8 million contracts, 9% lower compared to the same quarter last year.

 

The overall industry’s relatively weak quarter did not affect MIAX and BATS, which continue to deliver impressive year-over-year growth rates. March 2015 volume on MIAX reached 22.1 million contracts, representing a 128% increase over March 2014 volume and raising MIAX’s overall market share to 6.6%. BATS’ March 2015 volume grew 116% YoY, to 31.6 million contracts, reaching a 9.4% market share for the month. Other exchanges seeing notable growth include C2 and ISE Gemini, which experienced volume increases of 31% and 20%, respectively, compared to March 2014.

For more details on US options market activity, check out TABB Group’s complete Options LiquidityMatrix for March 2015, below, which includes options trading volumes and statistics on execution metrics for each US listed options exchange as well as the industry as a whole.



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.

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