Penny Pricing By the Numbers - Part Two
....Continued From Part One.
THE REST OF THE PENNY PRODUCTS
(data as of 4/5/07)
- IWM experienced the largest increase in contract volume, so it's hardly surprising that IWM also experienced the largest increase in quote traffic (up a stunning 123%).
- SUNW experienced the largest decrease in quote traffic (down 17%).
- Quote traffic in all penny products (excluding QQQQ) increased 45%.
- Spreads in all penny products (excluding QQQQ) decreased 50%.
- The average transaction size in the penny products (excluding QQQQ) decreased 81%.
- Contract volume in the penny products (excluding QQQQ) increased 37%.
THE INDUSTRY OVERALL
(all data as of 4/5/07)
- The current maximum capacity for the OPRA system is 459,000 messages per second. OPRA continues to increase that capacity in anticipation of more products being added to the Penny Pilot.
- OPRA has yet to be pushed to its full capacity. However, during the Penny Pilot, quote traffic peaked at 212,684 messages per second, or nearly half of OPRA's capacity.
- As expected, OPRA set a new traffic record on February 27 with a record total of 1.75 billion messages.
- The current leader of the quote traffic pack is Google, which averages 26 million messages per day.
FRAME OF REFERENCE
(The following data compares Penny Pilot message traffic to message traffic from the six months prior to the start of the Pilot. All data as of 4/5/07)
- When compared to the six months prior to the start of the Pilot, the average number of quotes disseminated per day is only up 1%.
- Despite the surprisingly low increase in overall message traffic, the one-minute traffic peak has increased by 43% during the Penny Pilot.
- When compared to the six months prior to the Pilot, overall industry contract volume is up 20%.
Concluded in "Breaking Down the Penny Pilot"
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