The Options Price Reporting Authority (OPRA) oversees the Securities Information Processor (SIP) that provides last sale information and current options quotations from a committee of participant exchanges. In turn, this committee is designated as the Options Price Reporting Authority. OPRA is a

national market system plan A national market system plan (or Regulation NMS, NMS plan) is a structured method of transmitting security (finance), securities transactions in real-time. In the United States, national market systems are governed by section 11A of the Securitie ...

that governs the process by which options market data are collected from participant exchanges, consolidated, and disseminated.

Participant exchanges

Current OPRA participants include: * Cboe Options Exchange * Cboe EDGX Options Exchange * Cboe BZX Options Exchange * Cboe C2 Options Exchange * Nasdaq PHLX * Nasdaq ISE * Nasdaq Options Market * Nasdaq GEMX * Nasdaq BX Options * Nasdaq MRX * NYSE Arca Options * NYSE American Options * Miami International Holdings * BOX Options * Members Exchange

Acquisition and distribution of market data

The

Securities Industry Automation Corporation The Securities Industry Automation Corporation (SIAC) 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 comput ...

(SIAC) administers the Securities Information Processor (SIP) for OPRA. The SIP 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 A security is a tradable financial asset. The term commonly refers to any form of financial instrument, but its legal definition varies by jurisdiction. In some countries and languages people commonly use the term "security" to refer to any for ...

transactions * Quotes: bids and offers for options * Open interest * Index values * End of day summary

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), which is 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 volume has increased dramatically since the early 1990s, as illustrated in the following table. 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 ( 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. # Dollar Strikes: The standard stock option

strike price In finance, the strike price (or exercise price) of an option is a fixed price at which the owner of the option can buy (in the case of a call), or sell (in the case of a put), the underlying security or commodity. The strike price may be set ...

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. #

Regulation NMS Regulation National Market System (or Reg NMS) is a 2005 US financial regulation promulgated and described by the United States Securities and Exchange Commission, Securities and Exchange Commission (SEC) as "a series of initiatives designed to mod ...

{{cite web , url=http://www.wallstreetandtech.com/features/showArticle.jhtml?articleID=201802269 , title=Skyrocketing Market Data Message Rates Leading Trading Firms to Consider Hardware Acceleration , accessdate=2007-08-27 , author=Ivy Schmerken , authorlink=Wall Street & Technology , date=2007-08-27 , archive-date=2007-10-18 , archive-url=https://web.archive.org/web/20071018082101/http://wallstreetandtech.com/features/showArticle.jhtml?articleID=201802269 , url-status=live 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