In the month of September, price improvement versus the prevailing NBBO for contracts submitted via the Boston Options Exchange’s (“BOX”) price improvement auction (‘PIP’*) averaged $3.05 per contract, an increase over August’s $2.82. An average of 47,012 contracts per day received price improvement during the month, a 19% increase over August’s 39,341, resulting in $3.0M in total savings to investors. With this, BOX has saved investors $256M since its inception in 2004. Average daily trading volume on BOX in the month of September 2009 was 447,075 contracts.
* Patent application pending for BOX Price Improvement Process auction