NEW YORK & LONDON--(Options LiquidityMatrix™, the financial industry’s monthly analysis of options market activity now covering 10 major US equity options exchanges: AMEX; BATS; BOX; CA; CBOE; ISE; NASDAQ ; NASDAQ BX; NYSE ARCA; and OMX PHLX.)--TABB Group announced today that it is publishing an expanded, more comprehensive format for its
“We are pleased to be working with Hanweck Associates to deliver this unique set of statistics and analysis, providing the U.S. options industry with greater insight into the increasingly complex execution environment”
Published exclusively by TABB Group with data and analysis provided by Hanweck Associates, the report includes options trading volumes and statistics on execution-quality metrics for listed-options exchanges and the industry.
“We are pleased to be working with Hanweck Associates to deliver this unique set of statistics and analysis, providing the U.S. options industry with greater insight into the increasingly complex execution environment,” says Andy Nybo, a TABB Group principal and director of derivatives who is responsible for publishing the monthly report.
Now expanded, Options LiquidityMatrix content includes data and analysis separately for penny options classes and all options trades. Charts and data tables in the new report include:
- Options volume by exchange on YTD and monthly basis
- Options market share by exchange for AMEX, BATS, BOX, C2, CBOE, ISE, Nasdaq, Nasdaq BX, NYSE Arca and OMX PHLX
Options market quality for penny options classes and all options trades
- Average bid/offer spread
- Average bid/offer size
- Number of series traded
- Average trade size (contracts)
- Average trade value
- Percentage executed at bid/offer
- Percentage of time at best bid/offer
- Percentage of time at best bid/offer and greatest size
TABB Group also publishes the Equity LiquidityMatrix™ that covers equity trading volume on exchanges, ECNs and dark pools.
About the Data
The data for the Options Liquidity Matrix is sourced from the OCC and Premium Hosted Database, PhD, 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 TABB Group
With offices in New York, London and expansion to Asia-Pacific, TABB Group is the only financial markets research firm focused solely on capital markets, based on the proven interview-based research methodology of “first-person knowledge” developed by founder Larry Tabb. For more information, visit www.tabbgroup.com. In January 2010, TABB launched TabbFORUM, the online global capital markets community covering analyses of current issues, tracked daily by more than 13,000 professionals.
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.