S3 Statistics Validated by Leading Academics

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S3 is mentioned in the following Academic paper titled “To Pay or be Paid? The Impact of Taker Fees and Order Flow Inducements on Trading Costs in U.S. Options Markets”. S3 is identified as the only third party execution quality provider that correctly calculates the execution quality of option exchanges.

Section 2, Page 7:

“As a by-product of our research, we find that the execution quality statistics currently published monthly on a voluntary basis by the seven options exchanges are often unreliable. When we compare the exchange-generated effective spreads with spreads that we compute using publicly available trade and quote data, we find large discrepancies for five out of seven exchanges. These five exchanges produce their numbers internally. Conversely, our monthly average spread estimates are consistently close to those produced by an external firm, S3, for the AMEX and for the NYSE Arca.”

To Pay or be Paid? The Impact of Taker Fees and Order Flow Inducements on Trading Costs in U.S. Options Markets

The statistics being referred to can be found here:

AMEX Execution Quality Reports

Nyse ARCA Execution Quality Reports

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