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Message traffic skyrockets in U.S. equity options markets

OPRA processes more than 100 billion order messages in a single day

4 March 2020

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The week ending Feb. 28 was exceptionally busy for U.S. equity options exchanges. Uncertainty about the impact of the coronavirus on the global economy triggered a large and rapid sell-off in the stock market, and the trading of options on equity indices and individual stocks exploded. According to the OCC, the central clearinghouse for the 16 U.S. exchanges that list equity options, more than 48.96 million options changed hands on Friday, Feb. 28, setting a record for total trading volume in a single day.

Even more impressive was the number of order messages transmitted that week by market participants. Order messages include all bids, offers, cancels and replaces that market participants send to exchanges. The number of order messages tends to be much larger than the number of transactions, given the large number of strike prices for each option and the constant real-time adjustments to quoted prices.  

According to the Options Price Reporting Authority, the industry utility that disseminates market data from options exchanges, more than 90 billion order messages were sent to the exchanges on Tuesday, Feb. 25 to set a new record for message traffic in the U.S. equity options markets. Three days later that record was broken again, when more than 100 billion messages were sent to the exchanges on Friday.

Exchange officials noted that there was no disruption to the processing of all these messages despite the surge in traffic, and their trading platforms operated in an orderly fashion all week long.

"The activity this week in the market has been extraordinary," Stacey Cunningham, the president of the NYSE Group, which includes two options markets and five equity markets operated by Intercontinental Exchange, said in a message circulated to the market operator's staff on Friday. "While we cannot control where the market goes, the world counts on us for resiliency during times of stress and we delivered… The prior messaging record for OPRA was 45 billion messages in a day and this week we set a new record of over 90 billion messages without any issues."

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