Samiksha Jaiswal (Editor)

Options Price Reporting Authority

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The Options Price Reporting Authority (OPRA) provides, through market data vendors, last sale information and current options quotations from a committee of participant exchanges designated as the Options Price Reporting Authority.

Contents

OPRA is a national market system plan 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 Equities (AMEX)
  • BATS Options (BATS)
  • Boston Stock Exchange (BSE)
  • Chicago Board Options Exchange (CBOE)
  • C2
  • International Securities Exchange (ISE)
  • ISE Gemini
  • ISE Mercury
  • Bats EDGX Options
  • Miami International Securities Exchange
  • NYSE Arca,
  • Nasdaq OMX BX Options
  • Philadelphia Stock Exchange (PHLX)

    • Acquisition and Distribution of Market Data

    The Securities Industry Automation Corporation (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 transactions
  • Quotes: bids and offers 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 (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 has been increasing dramatically since the early 1990s and is expected to surpass one million MPS by the end of 2008, as illustrated in the following table.

    Commentators suggest that there are three underlying causes of the increase:

    1. Penny Pricing: In early February 2007, the options industry started switching its minimum price increment from $0.05 (nickels) to $0.01 (pennies). 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.
    2. Dollar Strikes: The standard stock option strike prices 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.
    3. Reg NMS

    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

    Options Price Reporting Authority Wikipedia
    (Text) CC BY-SA