Welcome to S3’s Newsletter
Welcome to the inaugural S3 newsletter, where we’ll look at some interesting trends in options market movement, and how quote performance, fees and other actions impact the options trading landscape.
Facebook Moves to Chicago
In early September, with Facebook trading at an Average daily volume of roughly 429,000 contracts, CBOE and ARCA were tied for the lead for FB options volume with just over 18% of the executed volume.
By mid October the landscape had changed considerably. The Average daily volume had increased to nearly 790,000 contracts, much of which was trading at CBOE – now the clear volume leader with just shy of 24% of the total daily volume, while ARCA fell to fifth place with 11% of the executed volume.
Near the end of October, the difference had tightened slightly with CBOE dropping to 22% and ARCA increasing to 13%.
During September, CBOE really stepped up their quoting for FB options, improving the amount of time they spent at both the bid and ask NBBO by 14%. While they still lagged ARCA by 13%, this improvement corresponded with significantly more volume.
It will be interesting to see if CBOE’s gains are defensible through the rest of Q4 or if ARCA will regain the lost ground.