Nanex Research
Nanex ~ 29-Oct-2012 ~ 722 Million Apple Options Quotes
A little over 2 weeks ago, we took a detailed look at option quotes for
October 10, 2012 and were shocked to see
the number of fake quotes, and how often available capacity was exhausted on an inactive
day.
There doesn't appear to be anyone actively monitoring the aggregate number of option
messages per second. What will happen when a shock to the system multiplies activity
by a factor of 10 or more?
The table below shows quote and trade statistics for the entire session. It compares
all 7,818 NMS stocks, with Apple stock and Apple Options.
There were over 722 Million Apple Options quotes, which is 28% more quotes than all NMS stocks combined!
| 10-Oct-2012 |
Symbols |
Quotes |
NBBO |
Trades |
Shares |
| All NMS Stocks |
7,818 |
562,503,158 |
145,636,740 |
23,472,881 |
5,699,041,920 |
| Apple Stock |
1 |
1,136,682 |
353,177 |
210,632 |
34,320,380 |
| Apple Options |
3,826 |
722,047,119 |
138,315,229 |
345,047 |
1,659,798 |
We also found:
- 976 instances (seconds) that had over 100,000 Apple option quotes in a single second!
- 11,552 instances (seconds) with quotes in 2,000 or more different Apple option contracts.
- 4,045 instances of more than 500 quotes in one option contract in 1 second.
- 2,257 option quotes in one option contract in 1 second.
There were 9 options exchanges and approximately 528,000 individual option contracts on that day. Network capacity is currently set at 6 million messages/second. That allows
about 10 quotes per option contract per second. With 9 exchanges, each exchange can
send no more than 1 quote per option contract per second at the same time. Yet there
were 4,045 instances where one option contract had over 500 quotes in a second.
If all contracts quoted at that rate, there would be 264 million quotes/second.
1. Count of Instances where Options for One Stock Exceeded 100,000 quotes/second.
The explosion of option quotes is alarming.
2. Total Number of Apple Option Quotes and NBBO Quotes per second on 26-Oct-2012.
This chart indicates saturation when the number of quotes in 1 second exceeds 160,000.
3. Total Number of Apple Option Quotes, NBBO Quotes, and Trades per second on
26-Oct-2012 (log
scale).
Note the saturation limit shows up clearly.
4. Total Number of different Apple option contracts quoted each second and for
the session on 26-Oct-2012.
Note: It is odd that the maximum number of different Apple option contracts per second
hits a wall at about 1470, even though the total number of different Apple option contracts
for the session is hundreds higher.
Nanex Research
Inquiries: pr@nanex.net