Nanex Research

Nanex ~ 29-Oct-2012 ~ 722 Million Apple Options Quotes

A little over 2 weeks ago, we took a detailed look at option quotes for October 10, 2012 and were shocked to see the number of fake quotes, and how often available capacity was exhausted on an inactive day. There doesn't appear to be anyone actively monitoring the aggregate number of option messages per second. What will happen when a shock to the system multiplies activity by a factor of 10 or more?

The table below shows quote and trade statistics for the entire session. It compares all 7,818 NMS stocks, with Apple stock and Apple Options.

There were over 722 Million Apple Options quotes, which is 28% more quotes than all NMS stocks combined!

10-Oct-2012 Symbols Quotes NBBO Trades Shares
All NMS Stocks 7,818 562,503,158 145,636,740 23,472,881 5,699,041,920
Apple Stock 1 1,136,682 353,177 210,632 34,320,380
Apple Options 3,826 722,047,119 138,315,229 345,047 1,659,798

We also found:

There were 9 options exchanges and approximately 528,000 individual option contracts on that day. Network capacity is currently set at 6 million messages/second. That allows about 10 quotes per option contract per second. With 9 exchanges, each exchange can send no more than 1 quote per option contract per second at the same time. Yet there were 4,045 instances where one option contract had over 500 quotes in a second. If all contracts quoted at that rate, there would be 264 million quotes/second.

1. Count of Instances where Options for One Stock Exceeded 100,000 quotes/second.
The explosion of option quotes is alarming.

2. Total Number of Apple Option Quotes and NBBO Quotes per second on 26-Oct-2012.
This chart indicates saturation when the number of quotes in 1 second exceeds 160,000.

3. Total Number of Apple Option Quotes, NBBO Quotes, and Trades per second on 26-Oct-2012 (log scale).
Note the saturation limit shows up clearly.

4. Total Number of different Apple option contracts quoted each second and for the session on 26-Oct-2012.
Note: It is odd that the maximum number of different Apple option contracts per second hits a wall at about 1470, even though the total number of different Apple option contracts for the session is hundreds higher.

Nanex Research