The U.S. Thanksgiving holiday didnt give options traders much to be thankful for as volume in the sector dropped 11 percent from Octobers levels.
According to market consultancy TABB Groups recently published Options LiquidityMatrix, options traders capped their third-slowest month of trading of 2015 in November with executed contracts falling to 323.3 million contracts.
Despite the drop, volume was up 9.7 percent from last November.
Callie Bost, the derivatives research analyst who produces the OLM,noted that through November, 2015 year-to-date volume is 2.7% below 2014 same-period totals.
While volumes plunged last month as market swings calmed from a three-month period of turbulence, the S&P 500 rose less than 0.1% in November as the CBOE VIX Index averaged 16.2 during the month, Bost said.The Thanksgiving holiday, led to further depressed volumes as the options market was closed November 26 and half of November 27.
BATS launch of its EDGX options exchange on November 2 was one spark of excitement for the industry during the sleepy month, Bost added.Volume on EDGX, which employs a customer priority, pro-rata allocation model, was about 454,000 contracts, or 0.2% of total volume for the month.
The Options LiquidityMatrixis 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).
