Nanex Research
Nanex ~ 16-Sep-2013 ~ Charting the Option Wreckage
See also: Total Option Outage.
1. OPRA - All option trades color coded by reporting exchange.
The green spike around 14:20 is from the Boston Options Exchange (BOX). The trades were
actually a repeat of trades executed earlier in the day. We've only seen this behavior
from trades at BOX, which may indicate the source of the outage.
2. OPRA - All option trades color coded by reporting exchange. Zooming in to
14:20.
3. Each chart shows quotes sent from one exchange for SPY September 170 Puts.
4. Each chart shows data from all exchanges for Apple September 460 Calls.
5. Ratio of Option Quotes to Stock Quotes on a per second basis.
Quotes from OPRA divided by quotes from CQS and UQDF (NMS Stocks, Tape A+B+C) averaged each second
for the last year.
The thick red line is from September 16, 2013. You can clearly see when OPRA failed
and resumed. The final quote blast before returning to normal contains earlier quotes
and trades from BOX (see above)
6. Ratio of Option Quotes to Stock Quotes on a per second basis - minimum value each minute.
Same as chart above, but plotting the minimum ratio each minute.
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