Options Price Reporting Authority
Encyclopedia
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.
OPRA is a national market system plan
that governs the process by which options
market data are collected from participant exchanges, consolidated, and disseminated.
(SIAC) gathers the last sale and quote information from each of the participant exchanges. SIAC then consolidates and disseminates that data to approved vendors.
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:
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.
Market data
In finance, market data is quote and trade-related data associated with equity, fixed-income, financial derivatives, currency, and other investment instruments. Market data is numerical price data, reported from trading venues, such as stock exchanges...
vendors, last sale
Trader (finance)
A trader is someone in finance who buys and sells financial instruments such as stocks, bonds, commodities and derivatives. A broker who simply fills buy or sell orders is not a trader, as they are merely executing instructions given to them. According to the Wall Street Journal in 2004, a managing...
information and current options quotations
Financial quote
A financial quotation refers to specific market data relating to a security or commodity. While the term quote specifically refers to the bid price or ask price of an instrument, it may be more generically used to relate to the last price which the security traded at...
from a committee of participant exchanges designated as the Options Price Reporting Authority.
OPRA is a national market system plan
National market system plan
A national market system plan is a structured method of transmitting securities transactions in real-time. In the United States, national market systems are governed by section 11A of the Securities Exchange Act of 1934....
that governs the process by which options
Option (finance)
In finance, an option is a derivative financial instrument that specifies a contract between two parties for a future transaction on an asset at a reference price. The buyer of the option gains the right, but not the obligation, to engage in that transaction, while the seller incurs the...
market data are collected from participant exchanges, consolidated, and disseminated.
Participant Exchanges
Current OPRA participants include:- NYSE AmexAmerican Stock ExchangeNYSE Amex Equities, formerly known as the American Stock Exchange is an American stock exchange situated in New York. AMEX was a mutual organization, owned by its members. Until 1953, it was known as the New York Curb Exchange. On January 17, 2008, NYSE Euronext announced it would acquire the...
Equities (AMEX) - BATS Options (BATS)
- Boston Stock ExchangeBoston Stock ExchangeThe Boston Stock Exchange is a regional stock exchange located in Boston, Massachusetts. The third-oldest stock exchange in the United States, it was founded in 1834...
(BSE) - Chicago Board Options ExchangeChicago Board Options ExchangeThe Chicago Board Options Exchange , located at 400 South LaSalle Street in Chicago, is the largest U.S. options exchange with annual trading volume that hovered around one billion contracts at the end of 2007...
(CBOE) - International Securities ExchangeInternational Securities ExchangeInternational Securities Exchange Holdings, Inc. is a wholly owned subsidiary of German derivatives exchange Eurex. It is a member of the Options Clearing Corporation and the Options Industry Council . Historically, responsibility for organizing the Options Industry Conference is rotated amongst...
(ISE) - NYSE ArcaNYSE ArcaNYSE Arca, previously known as ArcaEx, an abbreviation of Archipelago Exchange, is a securities exchange on which both stocks and options are traded...
, and - Philadelphia Stock ExchangePhiladelphia Stock ExchangePhiladelphia Stock Exchange , now known as NASDAQ OMX PHLX, is the oldest stock exchange in the United States, founded in 1790. It is now owned by NASDAQ OMX and located at 1900 Market Street, in Center City Philadelphia.-History:...
(PHLX)
Acquisition and Distribution of Market Data
The Securities Industry Automation CorporationSecurities Industry Automation Corporation
The Securities Industry Automation Corporation is a subsidiary of the NYSE Euronext. Its purpose is to provide technical services for the exchanges themselves, members and other financial institutions. In this role, SIAC provides the computers and other systems required to run the exchanges...
(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 securitiesSecurity (finance)A security is generally a fungible, negotiable financial instrument representing financial value. Securities are broadly categorized into:* debt securities ,* equity securities, e.g., common stocks; and,...
transactions - Quotes: bidsBid priceA bid price is the highest price that a buyer is willing to pay for a good. It is usually referred to simply as the "bid."In bid and ask, the bid price stands in contrast to the ask price or "offer", and the difference between the two is called the bid/ask spread.An unsolicited bid or purchase...
and offersAsk priceAsk price, also called offer price, offer, asking price, or simply ask, is the price a seller states she or he will accept for a good....
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.
| Date | Peak MPS |
|---|---|
| 1992 | 100 |
| 1995 | 500 |
| 1998 | 1,500 |
| July 2000 | 4,000 |
| September 2005 | 83,339 |
| July 2007 | 573,000 |
| January 2008 | 701,000 (projected) |
| July 2008 | 907,000 (projected) |
Commentators suggest that there are three underlying causes of the increase:
- Penny Pricing: In early February 2007, the options industry started switching its minimum price increment from $0.05 (nickelsNickel (United States coin)The nickel is a five-cent coin, representing a unit of currency equaling five hundredths of one United States dollar. A later-produced Canadian nickel five-cent coin was also called by the same name....
) to $0.01 (penniesCent (United States coin)The United States one-cent coin, commonly known as a penny, is a unit of currency equaling one one-hundredth of a United States dollar. The cent's symbol is ¢. Its obverse has featured the profile of President Abraham Lincoln since 1909, the centennial of his birth. From 1959 to 2008, the reverse...
). 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. - Dollar Strikes: The standard stock option strike priceStrike priceIn options, the strike price is a key variable in a derivatives contract between two parties. Where the contract requires delivery of the underlying instrument, the trade will be at the strike price, regardless of the spot price of the underlying instrument at that time.Formally, the strike...
s 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. - Reg NMSRegulation NMSRegulation NMS is a regulation promulgated and described by the United States Securities and Exchange Commission as "a series of initiatives designed to modernize and strengthen the national market system for equity securities." It was established in 2007...
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.