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September US Options Volume Slips, But Still Outpacing 2016

Traders Magazine Online News, October 19, 2017

John D'Antona Jr.

Despite a September that saw monthly US options volumes drop 55.9 million contracts, year-to-date volume totals remain 1.8% ahead of the same period last year. September 2017 YTD listed options volume reached 3.1 billion contracts.

Markets continue to struggle with low volatility, as not even a bubbling geopolitical environment was able to shake the markets. Spreads in September 2017 remained consistent with August spreads, at $0.26.

The quiet volatility and decrease in volume in September 2017 was reflected by market quality statistics such as Average Trade Size and Average Bid/Offer Size, which remained in a tight range compared to August 2017. Penny Options as a percentage of Total Options volume maintained a 70/30 split in September, which is consistent with the rest of 2017.

In terms of industry developments, many firms are hunkering down in preparation for MiFID II. Adhering to and supporting best execution requirements will be a difficult task for options players. Firms that utilize options or provide access to their customers are collecting as much data as possible in preparation for January 1, 2018, and will have it ready to be transmitted to the appropriate regulators.

The Options LiquidityMatrix™ is a monthly analysis of options market activity published by TABB Group with analysis and statistics from Hanweck. The report includes options trading volumes and statistics on execution metrics for each US listed options exchange and the industry, using data sourced from the OCC and Hanweck.

The Options LiquidityMatrix™ includes data and analysis separately for penny options classes and all options trades. Charts and data tables in the report include:

Options volume by exchange on year-to-date and monthly basis.

Options market share by exchange for AMEX, BATS, BOX, C2, CBOE, ISE, ISE Gemini, MIAX, Nasdaq, Nasdaq BX, NYSE Arca and OMX PHLX.

Options market quality for penny options classes and all options trades, including

Average bid/ask spread

Average bid/offer size

Number of series traded

Average trade size (contracts)

Average trade value

Percentage executed at bid/ask

Percentage of time at best bid/offer

Percentage of time at best bid/offer and greatest size

 

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