Complete Text   I. Causes   II. Effects   III. Further Research   IV. Recommendations  
The charts below show all equity and index options (excluding those with condition codes spread/straddle/Combo/BuyWrite) with trade values (trade_price * contract_multiplier (100) * trade_size) >= $50,000, at one second intervals on May 6, 2010. The top chart shows the total value of all calls and puts and also includes the eMini futures prices. The second chart only shows trade values for calls and puts that were in the money (underlying price above or below strike price respectively). The third chart only shows trade values for calls and puts that were out of the money (underlying price below or above strike price respectively). There are 2 sets of charts, the first covers 14:40 to 14:52, and the second set covers the entire day.

We also include a Link to Large Text File - All OPRA trades on 05/06/2010 with a value > $50,000
Some notes on the data in this file:

Table of Exchange Codes (3rd column Ex), and Trade condition (2nd to last column Cnd): 

Code   Exchange Name   
  1    Nasdaq 
  3    NYSE 
  4    AMEX 
  5    CBOE
  6    ISE 
  7    NYSE/ARCA 
  8    National Exchange (CINC) 
  9    Philidelphia 
 11    Boston 
 60    BATS

Code   Condition Name   
  0    Regular 
  2    OutOfSeq 
 13    SoldLast 
 18    AutoExecution 
 95    IntermarketSweepOrder 
104    PriceVariation 
105    StockOption 
106    StoppedIM

A few interesting trades:

At 14:42:42 -- there are a series of VIX calls which all have a trade condition of 13 which is Sold Last -- meaning they are in sequence but late -- actually very late --  before 14:30.

;NxTime     |Exg Time|Ex|UL    |ExpDate |Strike |P/C|ULPrc|InMoney|OptPrc |OptTick| Size|$Value    |Cnd|ExgSeq# 
14:42:42.725|14:42:42| 5|iVIX  |20100519|  35.00|C|  35.35|  +0.35|   1.80|  -2.00|  300|    54,000| 13| 61749754 
14:42:42.725|14:42:42| 5|iVIX  |20100519|  35.00|C|  35.35|  +0.35|   1.80|  -2.00| 5000|   900,000| 13| 61749755 
14:42:42.725|14:42:42| 5|iVIX  |20100519|  35.00|C|  35.35|  +0.35|   1.80|  -2.00| 1000|   180,000| 13| 61749758 
14:42:42.725|14:42:42| 5|iVIX  |20100519|  35.00|C|  35.35|  +0.35|   1.80|  -2.00| 4000|   720,000| 13| 61749759 
14:42:42.725|14:42:42| 5|iVIX  |20100519|  35.00|C|  35.35|  +0.35|   1.80|  -2.00|  950|   171,000| 13| 61749762 
14:42:42.725|14:42:42| 5|iVIX  |20100519|  35.00|C|  35.35|  +0.35|   1.80|  -2.00|  750|   135,000| 13| 61749763 
14:42:42.725|14:42:42| 5|iVIX  |20100519|  35.00|C|  35.35|  +0.35|   1.80|  -2.00| 1000|   180,000| 13| 61749765 
14:42:42.750|14:42:42| 5|iVIX  |20100519|  35.00|C|  35.35|  +0.35|   1.80|  -2.00|  500|    90,000| 13| 61749887 
14:42:42.750|14:42:42| 5|iVIX  |20100519|  35.00|C|  35.35|  +0.35|   1.80|  -2.00|  500|    90,000| 13| 61749888

Other trades of interest:

$24 million: 
14:24:45.925|14:24:45| 7|eSPY  |20100717| 112.00|P| 113.61|  -1.61|   4.85|  +0.14|50000|24,250,000|  0|194494456
$11 million:  

14:26:01.625|14:26:01| 7|eSPY  |20100717| 102.00|P| 113.75| -11.75|   2.20|  +0.03|50000|11,000,000|  0|155117178
$4 million and way out of the money: 
14:30:10.025|14:30:10| 5|iSPX  |20100619| 800.00|P|1133.05|-333.05|   1.50|  +0.10|29650| 4,447,500|  0|199158304





Below is the second set of charts showing the entire trading day: all equity and index options with trade values (trade_price * contract_multiplier (100) * trade_size) >= $50,000.

  

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