Options Price Reporting Authority

The Options Price Reporting Authority (OPRA) provides, through market data vendors, last sale information and current options quotations from a committee of participant exchanges designated as the Options Price Reporting Authority.[1]

OPRA is a national market system plan that governs the process by which options market data are collected from participant exchanges, consolidated, and disseminated.

Participant Exchanges

Current OPRA participants include:

Acquisition and Distribution of Market Data

The Securities Industry Automation Corporation (SIAC) gathers the last sale and quote information from each of the participant exchanges. SIAC then consolidates and disseminates that data to approved vendors.

Available Data

The OPRA data feed provides:

Technology Infrastructure

SIAC is responsible for the OPRA systems and networks. CBOE serves as the OPRA administrator.

Messages per Second

A significant gauge of the level of options market data is messages per second (MPS). Messages per second is just that - the number of messages (i.e., options trade and quote data) reported to OPRA by the options exchanges during any given second of a trading day.

data has been increasing dramatically since the early 1990s and is expected to surpass one million MPS by the end of 2008, as illustrated in the following table.[2][3][4]

Date Peak MPS
1992 100
1995 500
1998 1,500
July 2000 4,000
September 2005 83,339
July 2007 573,000
January 2008 701,000 (projected)
July 2008 907,000 (projected)
25 March 2015 11:31 10,244,894 (1 sec peak)
20th Nov 2015 11:00 22,462,900 (10mS peak)

Commentators suggest that there are three underlying causes of the increase:

  1. Penny Pricing: In early February 2007, the options industry started switching its minimum price increment from $0.05 (nickels) to $0.01 (pennies). Because options prices are automatically updated as soon as the underlying stock price changes, the potential existed to update at five times as many price points.[3]
  2. Dollar Strikes: The standard stock option strike prices are in increments of $2.50 at and below $25, and in $5.00 increments for strikes above $25. A Dollar Strike Program would potentially increase the number of available options contracts by five times.[5]
  3. Reg NMS[6]

The OPRA MPS data rates are more than 60 times those seen in the equities market,[3] and options data represents well over 75% of all market data.[2]

See also


  1. Options Price Reporting Authority. "Options Price Reporting Authority". Retrieved 2007. Check date values in: |accessdate= (help)
  2. Reuters America LLC (2004-04-09). "Release No. 34-49175; File No. SR-07-04; Concept Release: Competitive Developments in the Options Markets" (PDF). Retrieved 2004-04-09.
  3. Daniel Safarik (2007-03-22). "The Options Penny Pilot Has Been Successful So Far". Retrieved 2007-03-22.
  4. Joe Corrigan (2007-03-22). "Updated Traffic Projections" (PDF). Retrieved 2007-07-10.
  5. American Stock Exchange (2007-06-08). "Penny Quoting Pilot Program Report" (PDF). Retrieved 2007-06-08.
  6. Ivy Schmerken (2007-08-27). "Skyrocketing Market Data Message Rates Leading Trading Firms to Consider Hardware Acceleration". Retrieved 2007-08-27.
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