Market Quality Indicators

Hanweck offers a comprehensive set of Market Quality Indicators that include volume and execution metrics for each US listed options exchange. These data serve as the basis for Tabb Group's Options Liquidity Matrix.

Hanweck also  customizes and expands upon the data included in the Options Liquidity Matrix to provide customers with a proprietary view into market quality across the U.S. options exchanges at any level of granularity (options class or series). Among other uses, Hanweck Market Quality Indicators are a valuable input for order routing and post-trade execution analysis.

Market Quality data is built from full tick level data -- every quote, every trade, available in real-time in Hanweck Historical Options Data.

Market Quality Metrics

  • Average Bid/Offer Size: Average of the sum of the bid and the offer size across all quotes.
  • Average Bid/Offer Spread: Weighted average of the bid/offer spread across all quotes, where weights are the sum of bid and offer size for each quote.
  • Average Trade Size: For all reported trades, the total number of contracts executed divided by total number of trades.
  • Average Trade Value: For all reported trades, the execution price multiplied by the number of contracts divided by the total number of trades reported.
  • % Executed at Bid/Offer: Percentage of reported trades executed at the prevailing bid/offer.
  • % of Time @ Best Bid/Offer: Sum of time the exchange is both best bid and best offer (across only symbols quoted by the exchange) divided by the sum of time those symbols have a best bid/offer during the trading day.
  • % of Time @ Best Bid/Offer with Greatest Size: Sum of time the exchange is both best bid and best offer and the quote has both greatest bid size and greatest offer size (across only symbols quoted by the exchange) divided by the sum of time those symbols have a best bid/offer during the trading day.
  • Penny Options Statistics: Includes options in underlying symbols in the Penny Pilot program.
  • Securities Traded: The number of individual unique option symbols traded during the period.
  • Vega Weighted Relative Liquidity: Quote and size weighted spread, weighted by the product of the option's Vega and dollar value traded (Vega x contract size x volume traded).
  • Volume Weighted Relative Liquidity: Measures bid-ask spread as a percentage of option mid-point price. The measure normalizes metrics for different priced options, and places greater weight on those spreads with greater trading volume. The result is a metric that better reflects the true liquidity and spreads of a given options class.

A complete suite of Market Quality Indicators to provide insight on market and execution quality across the US options exchanges.