The Options Price Reporting Authority (OPRA) provides, through market data vendors, last sale information and current options

quotations A quotation is the repetition of a sentence, phrase, or passage from speech or text that someone has said or written. In oral speech, it is the representation of an utterance (i.e. of something that a speaker actually said) that is introduced by ...

from a committee of participant exchanges designated as the Options Price Reporting Authority. OPRA is a

national market system plan A national market system plan (or NMS plan) is a structured method of transmitting securities transactions in real-time. In the United States, national market systems are governed by section 11A of the Securities Exchange Act of 1934. In additi ...

that governs the process by which options market data are collected from participant exchanges, consolidated, and disseminated.

Participant Exchanges

Current OPRA participants include: *

NYSE Amex NYSE American, formerly known as the American Stock Exchange (AMEX), and more recently as NYSE MKT, is an American stock exchange situated in New York City. AMEX was previously a mutual organization, owned by its members. Until 1953, it was know ...

Equities (AMEX) *

Boston Options Exchange BOX Options Exchange, LLC (BOX) is an automated exchange operated by the TMX Group and owned by TMX and a consortium of broker-dealers. As an equity options market, it provides electronic order matching services to stockbrokers and traders. O ...

(BOX) *

Chicago Board Options Exchange The Chicago Board Options Exchange (CBOE), located at 433 West Van Buren Street in Chicago, is the largest U.S. options exchange with an annual trading volume of around 1.27 billion at the end of 2014. CBOE offers options on over 2,200 compani ...

(CBOE) *

Miami International Holdings Miami International Holdings, Inc. (MIH) is an American company formed in 2007 that operates global financial exchanges and execution services. The company owns several U.S. exchanges for equities, equity options, and commodities. These includ ...

(EMERALD) * Nasdaq, Inc.(GEMX) * Nasdaq, Inc.(ISE) * Nasdaq, Inc.(MRX) *

(MIAX) *

NYSE The New York Stock Exchange (NYSE, nicknamed "The Big Board") is an American stock exchange in the Financial District, Manhattan, Financial District of Lower Manhattan in New York City. It is by far the List of stock exchanges, world's largest s ...

(ARCA) *

(PEARL) * Nasdaq, Inc.(NASD) * Nasdaq, Inc.(BX) *

(C2) * Nasdaq Philadelphia Stock Exchange (PHLX) *

(BATS)

Acquisition and Distribution of Market Data

The

Securities Industry Automation Corporation The Securities Industry Automation Corporation (SIAC) is a subsidiary of the NYSE Euronext. Its purpose is to provide technical services for the exchanges themselves, members and other financial institutions. In this role, SIAC provides the comput ...

(SIAC) gathers the last sale and quote information from each of the participant exchanges. SIAC then consolidates and disseminates that data to approved vendors.

Available Data

The OPRA data feed provides: * Trades: last sale reports for completed

securities A security is a tradable financial asset. The term commonly refers to any form of financial instrument, but its legal definition varies by jurisdiction. In some countries and languages people commonly use the term "security" to refer to any for ...

transactions * Quotes: bids and

offers ''Offers'' is a 2005 Dutch television film directed by Dana Nechushtan and starring Maryam Hassouni and Jacob Derwig. The thriller film is a personal drama about suicide bombers and counter-terrorism in Western Europe. In 2006 Maryam Hassouni ...

for options

Technology Infrastructure

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 A message is a discrete unit of communication intended by the source for consumption by some recipient or group of recipients. A message may be delivered by various means, including courier, telegraphy, carrier pigeon and electronic bus. A ...

(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. Data volume has increased dramatically since the early 1990s, as illustrated in the following table. 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 A penny is a coin ( pennies) or a unit of currency (pl. pence) in various countries. Borrowed from the Carolingian denarius (hence its former abbreviation d.), it is usually the smallest denomination within a currency system. Presently, it is t ...

). 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 price In finance, the strike price (or exercise price) of an option is a fixed price at which the owner of the option can buy (in the case of a call), or sell (in the case of a put), the underlying security or commodity. The strike price may be set ...

s 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 Regulation National Market System (or Reg NMS) is a US financial regulation promulgated and described by the United States Securities and Exchange Commission (SEC) as "a series of initiatives designed to modernize and strengthen the National Market ...

{{cite web , url=http://www.wallstreetandtech.com/features/showArticle.jhtml?articleID=201802269 , title=Skyrocketing Market Data Message Rates Leading Trading Firms to Consider Hardware Acceleration , accessdate=2007-08-27 , author=Ivy Schmerken , authorlink=Wall Street & Technology , date=2007-08-27 , archive-date=2007-10-18 , archive-url=https://web.archive.org/web/20071018082101/http://wallstreetandtech.com/features/showArticle.jhtml?articleID=201802269 , url-status=live The OPRA MPS data rates are more than 60 times those seen in the equities market, and options data represents well over 75% of all market data.

References