Research

T. Andersen, I. Archakov, L. Grund, N. Hautsch, S. Nasekin, I. Nolte, M. Pham, S. Taylor, V. Todorov: A Descriptive Study of High-Frequency Trade and Quote Option Data

September 7, 2019

This paper provides a guide to high frequency option trade and quote data disseminated by the Options Price Reporting Authority (OPRA). First, we present a comprehensive overview of the fragmented U.S. option market, including details on market regulation and the trading processes for all 15 constituent option exchanges. Then, we review the general structure of the OPRA dataset and present a thorough empirical description of the observed option trades and quotes for a selected sample of underlying assets that contains more than 25 billion records.