Algo at PHLX blasts OPRA all day on June 28, 2011

Hundreds of millions of worthless quotes flood OPRA (option) users

On June 28, 2011, the PHLX unleashed a new level of craziness for options quote stuffing. At 10:36:06 the PHLX increased its average number of option quotes by about 100,000 quotes/sec. They toned it down around 11:20, but as the chart below shows they maintained a quote rate much higher than the other exchanges for the remainder of the day. This resulted in hundreds of millions of unnecessary quotes.

The following chart is a plot of the 20 second average quote rate of each option exchange over the entire day. The 9 option exchanges are color coded in the top right hand corner of the chart. The PHLX is the blue/gray line that distinctly sticks out above the other exchanges particularly starting at 10:36. The upper chart plots the quote rate in quotes/sec generated by the 9 exchanges. The lower chart shows the percentage of the total output attributed to each exchange.

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Publication Date: 02/22/2012
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