U.S. listed options volume fell for the second straight month amid a drop in volatility in the market.
May U.S. listed options volumes fell 7.1% to 304.1 million shares compared to April, according to Tabb Group’s most recent monthly Options LiquidityMatrix. In April, 327.6 million shares changed hands.
Luther Zhao, research analyst who compiles data for the monthly report said that overall option market spreads tightened to 30.3 cents. This is down from 31.6 cents last month, 34.5 in March, and 36.9 at the beginning of the year.
Also, total volume year-to-date measured 1.62 billion contracts, 7.8% lower compared to the year-earlier period.
OLM 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
The OLM is a monthly analysis of options market activity published by TABB Group with analysis and statistics from Hanweck Associates. 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 Premium Hosted Database (PhD),a joint offering from Hanweck Associates and the International Securities Exchange (ISE).
