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NYSE Euronext’s (NYSE Euronext: NYX) U.S. options trading exchange, NYSE Arca Options, today reported its most recent industry-wide findings in the Securities and Exchange Commission’s (SEC) Penny Pilot program. Including the 22 newly expanded issues, NYSE Arca Options experienced ADV growth of 89% in penny pilot issues from January to October 2007, compared to a 36% increase in trading volume for all equity options.
The average quote mitigation savings from May 1, 2007 to September 27 was 19.5 million quotes per day, or 14.8% of NYSE Arca’s daily quote traffic sent to OPRA. This is a mitigation savings increase of 1.8% over the first phase of penny pilot analysis. On average, about 34 thousand series were mitigated every day, approximately 20% of all series listed on NYSE Arca Options.
“According to the Transaction Auditing Group, Inc. (TAG), NYSE Arca Options offered the best bid and offer 14% more often than any other U.S. options exchange across all 35 pilot issues in October,” said Vice President, NYSE Arca Options, Ed Boyle. “NYSE Arca was 3 times more likely than any other market to set the NBBO, a statistic that, when combined with our record volume in October, clearly demonstrates our strong value proposition to the options marketplace. In the most liquid penny pilot names, such as SPY and QQQQ, NYSE Arca Options performance was the best amongst all
Overall, the U.S. options industry experienced a number of market quality gains including decreases in effective spreads for all penny MPV issues across all exchanges and a 61% increase in average daily volume pre-pilot through the second post-pilot period for the original 13 pilot issues. On average, across all exchanges, effective spreads decreased for all issues trading in the penny MPV from at least -31% in IWM to as much as -56% in SUNW. Although individual exchanges experienced varying levels of spread compression, NYSE Arca Options had the largest effective spread reduction in 10 out of the 13 pilot issues. No exchange experienced an increase in an effective spread in the penny MPV compared to the pre-pilot levels.
For more information on NYSE Arca Options pricing, market structure and Market Maker program, please visit: http://www.nyse.com/options
Please click here to view the Transaction Auditing Group, Inc. (TAG) complete summary of the Penny Pilot quoting statistics.
