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11   -   February 7, 2005
BOX Cumulative Volume for First Twelve Months
Tops 26 Million
BOX Market Share Tops 5%
BOX Market Share in Top Classes Nears 10%
New Classes to be Added to Present 347
BOX Market Quality Continues to Improve
Cumulative Price Improvement Tops $ 7 Million, Average Price Improvement Continues Above $ 2 per Contract
 
Volume for First Twelve Months Tops 26 Million Contracts, January Records Set

BOX traded 26,294,310 contracts in its first twelve months of operation, an average for the year of roughly 100,000 contracts per day. The first “million contract week” was the first week of January 2005 and has not dipped below that threshold since. As illustrated in the graph below, the average daily volume on BOX continues to grow with a new record of 235,897 contracts in January 2005. Volume exceeded 300,000 contracts in two of the January trading sessions.


 
BOX Market Share Tops 5%

As shown in the graph below, BOX market share in the classes it trades continues to grow. January 2005 was BOX’s best month yet as market share in the 347 classes BOX lists reached 5.6%.

 
BOX Market Share in Top Classes Nears 10%

In the most active classes on BOX, market share is approaching 10%. The table below provides the January 2005 market share for the five most active classes on BOX.

5 Most Active Classes
Symbol
Market Share
QQQQ
9.31%
SPY
21.34%
EBAY
7.57%
AAPL
4.83%
INTC
4.62%

 


 
New Classes to Be Added to Present 347

BOX recently issued a request for market maker candidates for new classes to be listed over the first half of the year. Following on the 347 classes listed during 2004, an additional 100-150 classes will be listed during March and April, subject to regulatory approval. BOX expects to further expand the list to nearly 600 classes by the end of 2005

 
BOX Market Quality Continues to Improve


The BOX best bid and offer matches the NBBO (“national best bid and offer”) 92% of the time as shown in the graph below. This is largely due to the competition that results from the BOX market model which does not have specialists (rather, there are equal and competing market makers) and rewards aggressive quoting with a strict price and time priority algorithm for matching orders.

Methodology: The matching rate is calculated once per week for each BOX class, taking into account the best bid and offer on each series. The time weighted average for each class is then averaged arithmetically. The monthly data provided in the graph below is simply the average of the weekly observations.

 
Cumulative Price Improvement Tops $ 7 Million, Average Price Improvement Continues Above $ 2 per Contract


For the first twelve months of BOX trading, a total of 3,556,508 contracts received price improvement for a total savings to investors over NBBO of $ 7,504,232. Average price improvement for contract varies by class and series, averaging over $ 2 per contract since the BOX launch.

The BOX website provides weekly information regarding the “best PIPs” and may be viewed here. The graph below shows monthly and cumulative price improvement on BOX during the first 12 months of trading.


 
 
Fully Automated - Fully
electronic equity options
exchange.

Low Entry Costs -
No seats to buy or rent.

Price and Time Priority -
Orders are handled on
a strict price/time priority without a specialist controlling the price.
There is no wheel for "allocating" trades that disincents competition.

Price Improvement Auctions - BOX includes
a unique electronic mini-auction which provides price improvement to orders that would otherwise be printed elsewhere at the NBBO.

Multiple, Competing Market
Makers - BOX places no limits on the number of market makers who may continuously quote on a given options class. They compete equally on a price and time basis.

Anonymous - BOX does
not provide information on broker identification when an order is displayed in the order book.

Transparent - Order book broadcasting five best price limitsallows traders to see market depth.

Open Architecture – Each trader may connect whatever trading system
he wishes.

Equal Treatment of Orders - BOX does not discriminate order priority on the basis of the type of account. All orders on the BOX book
are available to all traders on a first come, first served basis with no limitation on professional order executions.

 

Boston Options