Enhanced options market structure reporting offers insight into every quote for every trade
AUSTIN, TX August 19, 2016 – S3 (“the Company”), a financial services software company that provides customized solutions to monitor and analyze trade execution, today announced the launch of its Next Generation Statistics (“NGS”) software platform for the options market. The innovative analytical tools provide exchanges with detailed point-in-time information for every quote and every trade executed in the options market.
S3 developed NGS to fit the exact specifications and unique needs of its options exchange clients, who desired a market data solution that would capture and consolidate information for all quotes and all trades at the time of execution. This groundbreaking platform fills a significant market need, as this level of analytical granularity has not previously been available for the options market. NGS provides exchanges with data for each trade in relation to the corresponding quote, as well as competitive data, allowing these customers to shift their pricing structures in order to drive executions to their venue.
Mark Davies, CEO of S3, commented on today’s news, “The number of options trades executed pales in comparison to the number of quotes in the market on a daily basis, and analyzing each individual execution at a detailed level has historically been difficult. NGS offers deep analysis on individual trades, providing options exchanges with the needle in the haystack that they have been looking for to understand why executions occur on each venue, thereby allowing them to alter their strategies accordingly. Currently, we offer our Next Generation Statistics software for options traded in the U.S. given the specific requests of our exchange customers operating in that market, and we plan to deploy similar analytics for equities as well as the Canadian marketplace.”
S3 has deployed NGS for one of the largest options exchanges in the United States, and expects to add additional exchange clients to the platform in the near-term. The innovative software solution sorts through all available data for every quote and every trade in the options market to provide customers with the targeted information that they need to better understand those factors impacting execution destinations. A large percentage of options quotes occur for symbols that trade infrequently, and these have historically been included in the NBBO. However, these quotes are not relevant as they do not generate revenue, and S3’s NGS excludes this information so as to only provide clients with the most pertinent data. Additional data points and metrics offered to options exchanges by NGS include:
- Complex queries – Compares data from multiple exchanges on which the NBBO occurred simultaneously, showcasing where trades were executed and why.
- Competitive analysis – Highlights order flow for all exchanges as well as the percentage of trades executed on each venue at a specific point in time.
- NBBO volume – Displays the total volume available at the NBBO across all exchanges.
- Quoted size – Aggregated across all exchanges at the NBBO at a particular time.
- Individual trades – Drills down to specific trades that make up summary level queries, highlighting the individual quote details for each trade on each exchange.
In addition to the above metrics, NGS allows exchange clients to filter data for every trade executed at a price better than the NBBO, every trade executed at an exchange did that not match the NBBO at the time of quoting, queries based on specific lists of symbols, and leap spreads. The customizable, web-based platform is updated daily and maintains 12 months worth of historical information for all quotes and individual trades in the options market. NGS sources data from the public OPRA feed, and as a result deployment is quick and seamless.
Davies concluded, “Our NGS platform provides exchanges with greater transparency into those factors impacting options execution destinations, allowing them to adjust their strategies in order to promote order flow to their venues while providing the best pricing available. Customization of our market data tools lies at the core of our business model, and we have deployed a turnkey version of NGS for its first exchange customer that suits that client’s unique needs. We look forward to unveiling further enhancements to NGS, including equities analysis and the addition of Canadian market data, over the coming months as we implement the platform for additional exchange customers and thereby promote more efficient markets.”
For more information please visit: www.S3.com.