Execution Quality Reports
BOX provides execution quality statistics
to assist both options investors, as well as broker
dealers acting as their agent, evaluating the best market
for the execution of their orders. The statistics are
provided monthly at both the overall BOX level and for
each of the options classes that BOX lists. The three
principal criteria for measuring quality are:
- frequency and amount of price improvement
- execution time
- frequency of order execution at a price inferior to the best available at any of BOX's five competitor exchanges (e.g., "trades through")
Highlights
Price Improvement Above $3.00: (as of April 2006) Approximately half of all customer marketable orders are improved with average improvement above $2.75 since October 2005. The PIP is the only mechanism for price improvement on BOX.
Execution Time is Sub One Second: Average execution time for the customer marketable orders, including any time spent at away exchanges as part of InterMarket Linkage routing, is slightly below half of one second.
NBBO Trades Through are Sub 0.02%: During 2005, the frequency of customer executions at a price less favorable than the National Best Bid and Offer (NBBO) has averaged 0.02% (eg two contracts for every ten thousand executed).
Summary of BOX Execution Quality Reports
To view details for any month, click
on the month label in the table below (first left-hand column). Please note that
the full details tables provide more granularity (e.g.
breakdown of statistics by order size) than the summary
table below.
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| 08/07 |
144,573 |
3,493,002 |
0.06% |
0.09% |
0.03% |
0.03% |
52.46% |
33.23% |
$3.885 |
$4,508,550 |
0.092 |
0.52 |
| 07/07 |
216,145 |
3,324,046 |
0.02% |
0.03% |
0.01% |
0.01% |
55.86% |
33.51% |
$3.570 |
$5,601,642 |
0.069 |
0.25 |
| 06/07 |
156,855 |
2,515,431 |
0.01% |
0.03% |
0.01% |
0.02% |
60.00% |
38.92% |
$2.949 |
$3,846,181 |
0.065 |
0.41 |
| 05/07 |
170,608 |
3,636,048 |
0.00% |
0.00% |
0.00% |
0.00% |
61.78% |
41.15% |
$2.872 |
$4,297,152 |
0.061 |
0.64 |
| 02/07 |
115,420 |
2,125,267 |
0.00% |
0.00% |
0.00% |
0.00% |
77.20% |
58.49% |
$3.048 |
$3,788,826 |
0.219 |
0.14 |
| 01/07 |
188,484 |
2,880,473 |
0.00% |
0.00% |
0.00% |
0.00% |
78.98% |
63.34% |
$3.244 |
$6,857,372 |
0.051 |
0.14 |
| 12/06 |
149,024 |
2,444,526 |
0.00% |
0.00% |
0.00% |
0.00% |
76.81% |
61.87% |
$3.239 |
$5,740,131 |
0.052 |
0.87 |
| 11/06 |
156,542 |
2,777,633 |
0.00% |
0.00% |
0.00% |
0.00% |
73.79% |
57.72% |
$3.235 |
$6,099,540 |
0.051 |
0.20 |
| 10/06 |
143,238 |
2,172,335 |
0.01% |
0.01% |
0.00% |
0.00% |
67.18% |
51.57% |
$3.283 |
$5,561,580 |
0.052 |
0.22 |
| 09/06 |
120,179 |
2,222,771 |
0.02% |
0.02% |
0.00% |
0.01% |
68.42% |
56.35% |
$3.369 |
$5,091,433 |
0.052 |
0.26 |
| 08/06 |
169,007 |
3,035,235 |
0.02% |
0.02% |
0.00% |
0.00% |
81.15% |
69.31% |
$2.309 |
$5,580,287 |
0.049 |
0.21 |
| 07/06 |
125,040 |
2,348,591 |
0.05% |
0.03% |
0.01% |
0.01% |
67.74% |
52.21% |
$3.143 |
$4,890,580 |
0.059 |
0.28 |
| 06/06 |
123,893 |
2,368,640 |
0.03% |
0.02% |
0.01% |
0.01% |
68.64% |
52.03% |
$3.035 |
$4,675,626 |
0.064 |
0.29 |
| 05/06 |
154,649 |
2,939,542 |
0.07% |
0.05% |
0.01% |
0.01% |
68.42% |
50.66% |
$3.067 |
$5,815,401 |
0.061 |
0.29 |
| 04/06 |
145,162 |
2,481,139 |
0.04% |
0.06% |
0.01% |
0.02% |
69.86% |
51.78% |
$3.046 |
$4,956,128 |
0.061 |
0.27 |
| 03/06 |
129,114 |
2,193,380 |
0.04% |
0.04% |
0.01% |
0.01% |
69.77% |
53.08% |
$2.764 |
$4,232,180 |
0.057 |
0.28 |
| 02/06 |
128,942 |
2,038,632 |
0.09% |
0.04% |
0.04% |
0.02% |
65.78% |
48.08% |
$2.822 |
$3,848,225 |
0.064 |
0.28 |
| 01/06 |
233,636 |
3,432,572 |
0.11% |
0.07% |
0.06% |
0.03% |
53.09% |
40.21% |
$2.874 |
$5,481,487 |
0.071 |
0.52 |
| 12/05 |
139,839 |
1,994,091 |
0.04% |
0.02% |
0.03% |
0.01% |
53.33% |
38.65% |
$2.814 |
$3,085,141 |
0.069 |
0.66 |
| 11/05 |
155,645 |
2,365,694 |
0.04% |
0.01% |
0.03% |
0.01% |
53.17% |
38.49% |
$2.841 |
$3,657,976 |
0.066 |
0.73 |
| 10/05 |
169,195 |
2,669,224 |
0.04% |
0.02% |
0.03% |
0.02% |
51.81% |
36.39% |
$2.835 |
$3,953,656 |
0.067 |
0.60 |
| 09/05 |
136,890 |
1,981,968 |
0.04% |
0.02% |
0.03% |
0.02% |
54.22% |
40.64% |
$2.681 |
$3,047,680 |
0.065 |
0.53 |
| 08/05 |
141,626 |
2,051,641 |
0.02% |
0.01% |
0.01% |
0.01% |
48.56% |
33.69% |
$2.538 |
$2,560,935 |
0.068 |
0.63 |
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0.10% |
0.07% |
0.04% |
0.03% |
62.15% |
47.83% |
$2.673 |
$2,565,176 |
0.063 |
0.43 |
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0.06% |
0.05% |
0.02% |
0.02% |
53.3% |
40.2% |
$2.551 |
$2,359,273 |
0.063 |
0.61 |
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0.05% |
0.04% |
0.01% |
0.01% |
55.6% |
43.1% |
$2.495 |
$2,497,006 |
0.056 |
0.86 |
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0.10% |
0.07% |
0.02% |
0.01% |
50.9% |
38.9% |
$2.282 |
$2,281,699 |
0.058 |
1.06 |
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0.09% |
0.06% |
0.05% |
0.03% |
54.8% |
40.3% |
$2.386 |
$2,064,810 |
0.057 |
1.16 |
| 02/05 |
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51.9% |
38.2% |
$2.670 |
$1,666,759 |
0.057 |
0.91 |
| 01/05 |
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48.5% |
32.6% |
$2.176 |
$1,177,558 |
0.064 |
0.82 |
The information provided above
and in the related links was prepared by BOX using internal
data sources and following guidelines suggested by a
variety of industry participants. As there is presently no
industry-wide standard for execution quality reports
in the options markets, a description of
how the data in each field was calculated may be viewed
by clicking here. Details for each month broken down
for each options class can be obtained by clicking on
the month in the table above (extreme left hand column).
While BOX has made every effort
to ensure the accuracy of the data, these have not been
audited nor validated by any regulatory authority.
Methodology
Click here to obtain a description
of the data calculation for each column. Note that this
description includes columns which do not appear in
the table above.
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