Unveiling the New Era of U.S. Equity Option Market Making: A Landmark 187-Page Analysis Highlights Core Strategies, Market Shares, and Trading Velocity Across 17 Leading Proprietary Firms in 5 Key Derivative Classes from 2019-2023
In this 187-page, 213-exhibit, 45,000-word case study, US Equity Option Market Makers: Core Strategies and Market Shares, 2019-2023, the analyst publishes its most comprehensive analysis to date based on the modeling of 17 proprietary trading firms who serve variously as market makers in U.S. equity derivatives across the backdrop of 5 interconnected product classes in futures and options.
The objective of this year-long research project was to shed new light on US equity option market mechanics by exploring the products, players and strategies that comprise the dramatic increase in total contract volume - with specific emphasis on the 5-year focus period, 2019-2023, that symbolizes what the analyst believes is a new era in U.S. equity option trading.
After a detailed introductory setup, this report is organized in 3 sections:
- First, market composition is presented to showcase the volumes and interconnected nature of all relevant US equity derivative product classes.
- Second, a new strategy factor library is leveraged to highlight core strategy preferences of the 17 members of the “featured option market making group,” wherever applicable.
- And third, based on interpretations from the prior sections, the output of a 2-factor model, that hinges on estimates of weighted average annual trading velocity per market maker, drives the volume share estimates - together, all of which yielding innumerable discoveries and insights about these players and this ecosystem.
Though the unprecedented scale of this case study is indicative, this is the analyst's current version of a masterpiece; the new crown jewel in a unique research library developed by hand, exclusively with publicly-available data (with the exception of certain daily market data samples), over years of consistent focus, patience and curiosity.
Featured Market Makers:
- Akuna Securities
- Belvedere Trading
- Chicago Trading Company
- Citadel Securities
- Cutler Group
- Group One Trading
- GTS Securities
- HAP Trading
- IMC Financial Markets
- Jane Street Options
- Old Mission Capital
- Optiver US
- Simplex Trading
- Susquehanna Securities
- Two Sigma Securities
- Walleye Trading
- Wolverine Trading
Data Sample
The Storyboard and select findings contained in this case study represent the publisher's analysis and interpretation of the largest and most diverse dataset for any case study in its history. The supporting data sample for this report has been sourced from the following:
- Quarterly 13F holdings reports (including 13F-HR/A amendment reports, wherever applicable) for numerous trading entities - including market makers, asset managers, and other financial intermediaries - over the maximum available time range for each entity ending December 31, 2023 (or, Q4 2023);
- The analyst's proprietary 13F Security Master (multi-identifier version under development), Q1 2008-Q2 2024;
- Quarterly Rule 606 reports - containing monthly trade data - filed by 17 retail-oriented brokerage entities covering the maximum of the period beginning January 2020 and ending March 2024, wherever applicable;
- Annual Form X17a5 reports for each option market making entity over the maximum available period beginning December 31, 2001, and ending December 31, 2023;
- BrokerCheck detail reports from FINRA (Financial Industry Regulatory Authority);
- Monthly and annual US equity option market data from Option Clearing Corporation (OCC);
- Monthly US equity index futures and futures options market data from CME Group;
- Monthly US equity stock market data from SIFMA (Securities Industry and Financial Markets Association);
- Select daily US equity option market data from Option Research and Technology Services (ORATS);
- Periodic presentation information on US equity option markets from CBOE Global Markets;
- Any other peripheral data or content referenced in this report that was available from open and public sources or searchable on the surface internet; and,
- Competitive and other contextual modeling, exhibits, case studies, Feed posts and/or any other pre-existing content from the analyst's research library.
Table of Contents
- Introduction
- Data Sample
- Glossary and Abbreviations
- Companies Mentioned
- Storyboard
- Market Composition
- Constituencies
- Contextual History
- Complexity and Evolution
- Customer Bias
- Core Strategies
- Broad Market Volatility Traders
- Broad Market Flow Traders
- Index Dispersion Traders
- ETF Dispersion Traders
- Special Situations Traders
- Wholesale Market Makers
- Market Share
- Equity Index Options
- Retail Customer Order Flow
- Volume Share By Market Maker
- Conclusion
- The Complexity Curve
- Retail Option Allocation Framework
- Institutional Option Customers
- Author's Note
- Appendix I Vignettes
- Strategy Factor Library, V1 (2)
- Structural Alpha Measurement (5)
- Open Interest Rank by Account Type and Entity (3)
- Put/Call/Buy/Sell Biases Stock and ETF Options (7)
- Retail Option Order Estimates and Rates Analysis (6)
- SPY/SPX Options Focus (10)
- Quarterly Metric Translations (7)
- Appendix II - Market Ecosystem Framework
- Key Landscape Drivers
- Alpha Capacity Elasticity
- Historical Perspective
- Factor Dimensionality and the Omnitrade
- Prop Shop Demographics
- About Alphacution
List of Exhibits
Exhibit N1: Total US Equity Option Volume (Billions, Contracts), 1973 - 2023
Exhibit N2: US Equity Option Market Makers - Aggregated Fair Value by Segment, YE 2014 - YE 2023
Exhibit N3: Featured Proprietary Trading Firms in US Equity Options - Ranked by Founding Year
Exhibit N4: Top 50 US Equity Derivatives Products - Ranked by 5Y WTD Avg Volume Share (%), 2019 - 2023
Exhibit N5: S&P 500 Option Volume Concentration by Product, DTE, and “Moneyness” (M), Mar 2024
Exhibit N6: SPY vs SPX: Volume Concentration by Dte and Side (% Total Product Volume), Mar 2024
Exhibit N7: TSLA - Call Volume Concentration by Dte and Moneyness (%), Mar 2024
Exhibit N8: TSLA - Put Volume Concentration by Dte and Moneyness (%), Mar 2024
Exhibit N9: TSLA - Total Option Volume Concentration by Dte, Moneyness, and Side (%), Mar 2024
Exhibit N10: Strategy Bias: 20-Quarter Average Product Value Bias by Market Maker, Q1 2019 - Q4 2023
Exhibit N11: WTD Avg Annual Trading Velocity - US Equity Option Product Benchmarks, 2019 - 2023
Exhibit N12: US Listed Equity Derivatives Market-Scaled Volume by Product w/ MM Strategy Bias, YE 2023
Exhibit N13: Market Ecosystem - Information Asymmetry Waves and Alpha Capacity Elasticity, V.2019
Exhibit S14: Share of Stock and ETF Option Volume by Account Type (%, Sides), Apr 2018 - Mar 2024
Exhibit S15: Total Stock and ETF Option Volume by Account Type (Millions, Sides), Apr 2018 - Mar 2024
Exhibit S16: Featured Proprietary Trading Firms in US Equity Options - Ranked by Founding Year
Exhibit S17: Market Maker's Share - 13F Long Equity Option Open Interest (Leoi), Q3 2010 - Q3 2023
Exhibit S18: Market Maker's Long Equity Option Open Interest (Millions, Contracts), Q3 2010 - Q4 2023
Exhibit S19: US Equity Derivative Gross Fair Value (GFV) by Market Maker* - YE 2003 - YE 2023
Exhibit S20: US Equity Option Market Makers - Aggregated Fair Value by Segment, YE 2014 - YE 2023
Exhibit S21: US Equity Derivatives Market Makers - Aggregated NFV (% Total GFV), YE 2014 - YE 2023
Exhibit S22: US Equity Derivatives Market Makers - Aggregated NFV ($Billions), YE 2014 - YE 2023
Exhibit S23: US Equity Option Market - Volume by Product (Millions, Contracts), Apr 2018 - Dec 2023
Exhibit S24: US Equity Option Market - Volume Share by Product (%), Apr 2018 - Dec 2023
Exhibit S25: US Equity Option Market - Share of Volume by Product (%), 2019 - 2023
Exhibit S26: US Equity Options Market - Number of Equity Underlyings, Jan 2008 - Dec 2023
Exhibit S27: US Equity Option Listings by Underlying Type, 2016 - 2024 (Mar)
Exhibit S28: US Equity Option Listings by Underlying Type (% Total), 2016 - 2024 (Mar)
Exhibit S29: Total US Equity Derivatives Volume by Product Class * (Billions, Contracts), 1973 - 2023
Exhibit S30: Total US Equity Derivatives by Product Class (Millions, Contracts), Jan 2012 - Dec 2023
Exhibit S31: Top 20 US Equity Derivative Products by Volume* (Scaled Relative to SPY**), 2023
Exhibit S32: Top 50 US Equity Derivatives Products - 5Y WTD Avg Volume Share Rank (%), 2019 - 2023
Exhibit S33: US Equity Options - Ratio: 0Dte Volume / Non-0Dte Volume by Product, Aug 2021 - Apr 2023
Exhibit S34: US Equity Option Volume by Maturity (%, All Prods), 2016 - 2024 YTD (Mar) - Line Chart
Exhibit S35: US Equity Option Volume by Maturity (%, All Prods), 2016 - 2024 YTD (Mar) - Bar Chart
Exhibit S36: US Equity Option Volume by Maturity (%, All Prods) - Wkly vs Non-Wkly, 2016 - 2024 (Mar)
Exhibit S37: S&P 500 Index Options - Avg Premium Per Contract by Product ($), Apr 2018 - Dec 2023
Exhibit S38: Monthly S&P 500 Index Options Velocity by Product, Jan 2012 - Dec 2023
Exhibit S39: SPY ETF Options Velocity by Side w/ Call-Put Velocity Ratio / Notes, Jan 2018 - Dec 2023
Exhibit S40: SPX Index Options Velocity by Side, Jan 2018 - Dec 2023
Exhibit S41: Monthly US Equity Option Velocity by Product - Apr 2018 - Dec 2023
Exhibit S42: SPY ETF Option Volume (% Total ETF Option Volume), Apr 2018 - Dec 2023
Exhibit S43: US Equity Option Market - Average Monthly Trading Velocity by Year*, 2014 - 2023
Exhibit S44: SPY ETF and SPX Equity Index Option Volume Bias by Side (Millions), Mar 2024
Exhibit S45: US Stock Options - Market Maker Volume Share by Side (%), Apr 2018 - Dec 2023
Exhibit S46: US ETF Options - Market Maker Volume Share by Side (%), Apr 2018 - Dec 2023
Exhibit S47: SPX Index Options - Market Maker Volume Share by Side (%), Apr 2018 - Dec 2023
Exhibit S48: SPX Index Options - Volume by “Moneyness” and Side (Millions, Contracts), Mar 2024
Exhibit S49: SPY ETF Options - Call Volume by Moneyness* (%), Mar 2024
Exhibit S50: Market Maker Strategy Bias - Avg Product Value* Comparison (W Scale by Avg PoS Value, $B)
Exhibit S51: Market Maker Strategy Bias - Avg Product Value* Comparison (W Scale by Avg PoS Count)
Exhibit S52: Est Relative Avg Stock Option Delta by Market Maker (20Q Avg %), Q1 2019 - Q4 2023
Exhibit S53: US Equity Option Volume Concentration by Product w/ Market Maker Strategy Bias, 2023
Exhibit S54: Leading Proprietary Trading Firms - Members’ Equity (US Entities Only), YE 2001 - YE 2023**
Exhibit S55: Leading Proprietary Trading Firms - Members’ Equity (US Only, <$500 M), YE 2001 - YE 2023
Exhibit S56: US Equity Options Net Fair Value (NFV) by Market Maker (% GFV), YE 2014 - YE 2023
Exhibit S57: US Equity Options Net Fair Value (NFV) by Market Maker ($B), YE 2014 - YE 2023
Exhibit S58: US Equity Option GFV by Market Maker (%)- Ranked by 10Y Avg GFV Share, YE 2014 - YE 2023
Exhibit S59: 10Y Avg Share of Total Market Maker NFV by Market Maker (Ranked), YE 2014 - YE 2023
Exhibit S60: Market Maker (MM) Net Fair Value (NFV) Share by MM (% Total MM NFV), YE 2014 - YE 2023
Exhibit S61: Susquehanna Securities - Equity Option Asset FV by Product (% Total), YE 2014 - YE 2023
Exhibit S62: Susquehanna Securities, LLC - Equity Index Options Gross Fair Value ($B), YE2014 - YE2023
Exhibit S63: Share of Retail Option Contract Volume by Wholesale Market Maker (%), Jan 2020 - Jun 2024
Exhibit S63: Average Total Underlyings Universe Ranking by Market Maker, Q1 2019 - Q4 2023
Exhibit S64: Average Total Option Underlyings Universe Ranking by Market Maker, Q1 2019 - Q4 2023
Exhibit S65: Average Stock Option Underlyings Universe Ranking by Market Maker, Q1 2019 - Q4 2023
Exhibit S66: Stock Option Underlyings Universe by Market Maker and Strategy Group, Q1 2019 - Q4 2023
Exhibit S67: Average Long Stock Position Shares Ranking by Market Maker, Q1 2019 - Q4 2023
Exhibit S68: 20Q Average Long Stock Position Value Ranking by Market Maker ($M), Q1 2019 - Q4 2023
Exhibit S69: Average Short Stock Universe Capacity by Market Maker, 20Q Avg (Q1 2019 - Q4 2023)
Exhibit S70: Quarterly Maximum Short Stock Universe by Market Maker, Q1 2019 - Q4 2023
Exhibit S71: Avg Net Long Option Contract Bias by Market Maker - All Products (%), Q1 2019 - Q4 2023
Exhibit S72: Avg Net Long Stock Option Contract Bias by Market Maker (%), Q1 2019 - Q4 2023
Exhibit S73: Avg 13F Long Equity Option FV Per Contract by MM - Stock Players ($), YE 2018 - YE 2023
Exhibit S74: Simplex Trading - Long Equity Option Open Interest (Millions, Contracts), Q4 2014 - Q4 2023
Exhibit S75: Simplex Trading - Total Long Stocks Fair Value ($ Billions), Q4 2014 - Q4 2023
Exhibit S76: Average Long Cash Position Share Price by Market Maker ($), Q1 2019 - Q4 2023
Exhibit S77: Susquehanna SEC vs. Citadel SEC - Stock and ETF Option Asset FV ($B), YE 2014 - YE 2023
Exhibit S78: Susquehanna SEC vs. Citadel SEC - Equity Index Option Asset FV ($B), YE2014 - YE2023
Exhibit S79: Stock Option Underlyings Universe by Index Dispersion Market Maker, Q1 2019 - Q4 2023
Exhibit S80: US Equity Option Market - Volume by Product (Billions), 2019 - 2023
Exhibit S81: US Equity Option Market - Average Premium Per Contract by Product ($), Apr 2018 - Dec 2023
Exhibit S82: US Equity Options Market - Total Premiums by Product ($B), 2019 - 2023
Exhibit S83: US Equity Option Premiums by Product ($Billions), Apr 2018 - Dec 2023
Exhibit S84: Daily Average US Equity Option Premiums by Product ($ Billions), Apr 2018 - Dec 2023
Exhibit S85: US Equity Options Market - Share of Total Premiums by Product (%), 2019 - 2023
Exhibit S86: Equity Index Futures and Oofs Volume (Millions, Contracts), Jan 2018 - Sep 2023
Exhibit S87: S&P 500 Index Option Volume by Product (Millions, Contracts), Apr 2018 - Sep 2023*
Exhibit S88: S&P 500 Index (SPX) Options Volume by Sub-Product (Millions), Dec 2021 - Jan 2024
Exhibit S89: Quarterly S&P 500 Index Options Velocity by Product, Q1 2018 - Q4 2023
Exhibit S90: Top Equity Index-Related Volume by Product (%), Aug 2021 - Dec 2023
Exhibit S91: Avg 13F Long Equity Option FV Per Contract by MM - Index Players ($), YE 2018 - YE 2023
Exhibit S92: 20Q Avg Long SPY ETF Option Contracts by Market Maker, Q1 2019 - Q4 2023
Exhibit S93: Long SPY ETF Option Contracts by Market Maker (M), Q1 2019 - Q4 2023
Exhibit S94: 20Q Avg Notional Long SPY ETF Option Position Value by MM ($B), Q1 2019 - Q4 2023
Exhibit S95: Notional Long SPY ETF Option Position Value by Market Maker ($B), Q1 2019 - Q4 2023
Exhibit S96: Notional Long Fund Option Value Per Contract by Market Maker ($), Q1 2019 - Q4 2023
Exhibit S97: Avg Notional Fund Option Position Value by Market Maker ($M), Q1 2019 - Q4 2023
Exhibit S98: Avg Notional Fund Option Position Value by Market Maker (<$500M), Q1 2019 - Q4 2023
Exhibit S99: CTC V Optiver - Long ETF Calls V Puts Bias W Share of Bias Range by Prod, Q1 19 - Q4 23
Exhibit S100: IMC V Belvedere - Long ETF Calls V Puts Bias W Share of Bias Range by Prod, Q1 19 - Q4 23
Exhibit S101: 20Q Average Long ETF Positions by Market Maker, Q1 2019 - Q4 2023*
Exhibit S102: Long ETF Positions by Market Maker, Q1 2019 - Q4 2023
Exhibit S103: 20Q Average ETF Option Underlyings Universe by Market Maker, Q1 2019 - Q4 2023
Exhibit S104: Long ETF Option Underlyings Universe by Market Maker, Q1 2019 - Q4 2023
Exhibit S105: Avg Net Long ETF Option Contract Bias by Market Maker (%), Q1 2019 - Q4 2023
Exhibit S106: Avg Short ETF Universe Capacity by Market Maker, 20Q Avg (Q1 2019 - Q4 2023)
Exhibit S107: 20Q Average Long ETF Position Shares by Market Maker, Q1 2019 - Q4 2023
Exhibit S108: 20Q Average Long ETF Position Value by Market Maker ($M), Q1 2019 - Q4 2023
Exhibit S109: 20Q Average Long ETF Position Average Share Price by Market Maker ($), Q1 2019 - Q4 2023
Exhibit S110: Long ETF Position Average Share Price by Index Players ($), Q1 2019 - Q4 2023
Exhibit S111: Long ETF Position Average Share Price by Non-Index Players ($), Q1 2019 - Q4 2023
Exhibit S112: Estimating Relative Avg ETF Option Delta by Market Maker (20Q Avg %), Q1 2019 - Q4 2023
Exhibit S113: 20Q Avg Notional Long SPY Option Position Value by Market Maker ($B), Q1 2019 - Q4 2023
Exhibit S114: 20Q Avg Long SPY Position Value by MM (% Long Securities Value), Q1 2019 - Q4 2023
Exhibit S115: Estimating Relative Avg ETF Option Delta by MM W/O SPY (20Q Avg %), Q1 2019 - Q4 2023
Exhibit S116: Avg 13F Long Equity Option FV Per Contract by MM - ETF Players ($), YE2018 - YE2023
Exhibit S117: US Equity Option Market Makers - 13F Notional Long Equity Option Value ($B), YE 2023
Exhibit S118: 20Q Avg Warrants, Rights, and/or Units Positions by Market Maker, Q1 2019 - Q4 2023
Exhibit S119: Group One Trading - Long Equity Option Open Interest (M, Contracts), Q1 2008 - Q4 2023
Exhibit S120: Group One Trading - Members’ Equity ($ Millions), 2002 - 2023
Exhibit S121: Avg Ratio of PFOF Share to Volume Share by Wholesale Market Maker, Jan 2020 - Jun 2024
Exhibit S122: Ratio of PFOF Share to Contracts Share by Wholesale Market Maker, Jan 2020 - Jun 2024
Exhibit S123: Leading US Option Market Makers - Aggregate GFV by Product (%), Ye2018 - Ye2023
Exhibit S124: Equity Index Derivatives Volume by Product (Billions, Contracts), 2012- 2023
Exhibit S125: Equity Index Options - Gross Fair Value by Trader ($Billions), YE 2018 - YE2023
Exhibit S126: Equity Index Options - Market Makers vs Customers Share of GFV (%), YE2018 - YE2023
Exhibit S127: US Equity Option Volume by “Modified” Account Type (Billions, Sides), 2019 - 2023
Exhibit S128: US Equity Option Volume by “Modified” Account Type (% Total), 2019 - 2023
Exhibit S129: Retail Equity Option Volume by Estimate Method (M, Sides), Jan 2020 - Jun 2024
Exhibit S130: Retail Equity Option Volume Share by Estimate Method (% Sides), Jan 2020 - Jun 2024
Exhibit S131: Retail Option Volume by Broker (M, Sides), Jan 2020 - Jun 2024
Exhibit S132: Wholesale Market Maker Share of Retail Option Volume (%, CTS), Jan 2020 - Jun 2024
Exhibit S133: Wholesale Market Maker Share of Retail Option Volume (%, Sides), Jan 2020 - Jun 2024
Exhibit S134: Wholesale Market Maker Share of Retail Option Volume (M, Sides), Jan 2020 - Jun 2024
Exhibit S135: US Equity Options - Share of Volume by Account Type (% Sides), Apr 2018 - Dec 2023
Exhibit S136: US Equity Options Volume by Account Type (M, Sides), Apr 2018 - Dec 2023
Exhibit S137: Susquehanna Securities - Equity Option Volume by Product (Billions, Sides), 2014 - 2023
Exhibit S138: Susquehanna Securities - Est Share of SPX Equity Index Volume (% Total), 2014 - 2023
Exhibit S139: Susquehanna Securities - Share of US Equity Derivs by Product (%), Jan 2014 - Dec 2023
Exhibit S140: Est Avg Trade Velocity (2F) - Product Benchmarks / Market Maker Strategies, 2019-2023
Exhibit S141: 5Yr US Equity Option Volume Share by Market Maker (% Tot MM Contracts), 2019-2023
Exhibit S142: 5Yr US Equity Option Volume Share by MM and Customer Type (% Tot MM CTS), 2019 - 2023
Exhibit S143: 5Yr US Equity Option Volume Share by MM and Customer Type (% Tot MM Sides), 2019 - 2023
Exhibit S144: 5Yr US Equity Option Volume by Market Maker (Billions, Sides), 2019 - 2023
Exhibit S145: US Equity Option Volume Share by Market Maker (% Total MM CTS), 2023
Exhibit S146: 4Yr US Equity Option Volume Share by Participant (% Total Market Sides), 2020 - 2023
Exhibit C147: Under Common Ownership - Prop Firms with Asset Management Affiliates
Exhibit C148: Interactive Brokers - Stock Volume (Billions, Shares), Jan 2008 - Dec 2023
Exhibit C149: Trading Velocity - Clues to Wolverine Trading's Role in the Meme Stock Craze, 2021
Exhibit C150: Hypothetical Retail Option Allocation Schematic by Wholesaler, 2024
Exhibit C151: Total US Equity Option Volume Share by Modified Acct Type (%, Sides), Jun 2018-Jun 2024
Exhibit C152: Customer Option Volume Share by Modified Acct Type / Broker (%, Sides), Jan 20-Jun 24
Exhibit C153: Retail vs Institutional Customer Option Volume (M, Sides), Jan 2020 - Jun 2024
Exhibit C154: D. E. Shaw & Co. LP - Long Equity Option Open Interest (M, Contracts), Q2 1998-Q3 2023
Exhibit C155: Millennium Mgmt - Long Equity Option Open Interest (M, Contracts), Q4 2000-Q3 2023
Exhibit C156: Prop Firms as Wholesale Market Makers by Asset Class (Headcount Ranking), Jun 2022
Exhibit C157: Total 13F Long Equity Option Positions, Q2 2013 - Q1 2024
Exhibit C158: Total 13F Long Notional Equity Option Value ($ Trillions), Q2 2013 - Q1 2024
Exhibit C159: Total 13F Long Notional Equity Option Value (% Total Cash Value), Q2 2013 - Q1 2024
Exhibit C160: Top 250 - Asset Manager Ranking by 13F US Equities Value ($ Trillions), Dec 31, 2023
Exhibit A1: Strategy Factor Library V1 - 84 Quarterly Factors, Q1 2019 - Q4 2023 (Part I)
Exhibit A2: Strategy Factor Library V1 - 84 Quarterly Factors, Q1 2019 - Q4 2023 (Part II)
Exhibit A3: Robinhood Securities, LLC - Estimating Annual Bid-Ask Spread Value ($M), 2019 - 2023
Exhibit A4: US Equity Options - Total Bid-Ask Spread Value from Customer Volume ($B)*, 2019 - 2023
Exhibit A5: US Equity Options - Bid-Ask Spread (BAS) Value from Customer Volume ($M)*, Jan 20 - Mar 24
Exhibit A8: US Equity Options - Total Option PFOF and Est Exchange Liquidity Payments ($M), 2020 - 2023
Exhibit A9: US Equity Options - Rate Per Contract (RPC) by Category *, 2019 - 2023
Exhibit A6: US Equity Options Market - Bid/Ask Spread Value by Product ($ Billions), 2019 - 2023
Exhibit A7: US Equity Options Market - Share of Bid/Ask Spread Value by Product (%), 2019 - 2023
Exhibit A10: Total (13F) Long Equity Option Open Interest by Group - Market Makers, Q3 2023
Exhibit A11: Total (13F) Long Equity Option Open Interest by Group - Bank-Affiliated Customers, Q3 2023
Exhibit A12: Total (13F) Long Equity Option Open Interest by Group - Institutional Customers, Q3 2023
Exhibit A13: US Stock Options - Market Maker Volume by Contract Side (Millions), Apr 2018 - May 2024
Exhibit A14: US Stock Options - Average Premium Per Contract Side ($), Apr 2018 - Dec 2023
Exhibit A15: US Stock Options - Average Monthly Contracts Per Trade by Side, Apr 2018 - Dec 2023
Exhibit A16: US Stock Options - Market Maker Buy/Sell Bias (% Buy/Sell Diff.), Apr 2018 - May 2024
Exhibit A17: US ETF Options - Market Maker Volume by Contract Side (Millions), Apr 2018 - May 2024
Exhibit A18: ETF Stock Options - Average Premium Per Contract Side ($), Apr 2018 - Dec 2023
Exhibit A19: US ETF Options - Market Maker Buy/Sell Bias (% Buy/Sell Diff.), Apr 2018 - May 2024
Exhibit A20: Estimated Total Retail Option Orders (Millions), Jan 2020 - Mar 2024
Exhibit A21: Estimated Retail Option Orders by Broker (% Total), Jan 2020 - Mar 2024 (Line Format)
Exhibit A22: Estimated Retail Option Orders by Broker (% Total), Jan 2020 - Mar 2024 (Bar Format)
Exhibit A23: WTD Avg Option PFOF Rate Per Contract (RPC) by Retail Broker ($), Jan 2020 - Mar 2024
Exhibit A24: Options PFOF by Wholesale Market Maker ($Millions), Jan 2020 - Mar 2024
Exhibit A25: Robinhood Securities - Option PFOF Rate Scheme, Q3 2023
Exhibit A26: Market Makers’ Share of SPY ETF Option Volume by Exchange (By Sides), Nov 2021 - May 2024
Exhibit A27: Customers’ Share of SPY ETF Option Volume by Exchange (Two-Sided), Nov 2021 - May 2024
Exhibit A28: Firms’ Share of SPY ETF Option Volume by Exchange (Two-Sided), Nov 2021 - May 2024
Exhibit A29: SPY ETF Option Volume by Account Type (% Total Contract Sides), Nov 2021 - May 2024
Exhibit A30: SPY ETF Options Volume by Account Type (Millions, Contract Sides), Nov 2021 - May 2024
Exhibit A31: SPX Index Options - Share of Volume by Account Type (% Sides), Apr 2018 - May 2024
Exhibit A32: SPX Index Options - Volume by Account Type (Millions, Sides), Apr 2018 - May 2024
Exhibit A33: SPX Index Options - Market Maker Volume by Put/Call/Buy/Sell Combos, Apr 2018 - May 2024
Exhibit A34: SPX Index Options - Average Premium Per Contract Side ($), Apr 2018 - Dec 2023
Exhibit A35: SPX Index Options - Market Maker Buy/Sell Bias (% Buy/Sell Diff.), Apr 2018 - May 2024
Exhibit A36: US Equity Options - Average Quarterly Contracts Per Trade, Q2 2018 - Q4 2023
Exhibit A37: US Equity Options - Total Quarterly Premiums by Product ($Billions), Q2 2018 - Q4 2023
Exhibit A38: US Equity Options - Avg Quarterly Premium Per Contract by Product ($), Q2 2018 - Q4 2023
Exhibit A39: US Equity Options - Avg Quarterly Premium Per Contract by Product ($), Q2 2018 - Q4 2023
Exhibit A40: US Equity Options - Avg Premium Per Trade by Product ($000's), Q2 2018 - Q4 2023
Exhibit A41: US Equity Options - Avg Premium Per Trade by Product ($000's), Q2 2018 - Q4 2023
Exhibit A42: S&P 500 Index (SPX) Options Volume by Sub-Product (Millions), Dec 2021 - Jan 2024
Exhibit B1: Annotated Framework Hypothesis - Technical and Human Capital Leverage Benchmarks
Exhibit B2: Converting Framework Hypothesis into Map of Strategy Categories, Manager Coordinates
Exhibit B3: Top 100 Players in US Listed Market Structure - Alphacution's “Structural Alpha Zone,” 2019
Exhibit B4: Asset Management Ecosystem Map with Liquidity Pools, Top Manager Selections (2019)
Exhibit B5: Market Ecosystem Information Consumption-Dissemination Mechanism
Exhibit B6: Market Ecosystem - Information Asymmetry Waves and Alpha Capacity Elasticity, V.2019
Exhibit B7: Market Ecosystem Map - Focus on Factor Dimensionality and the “Omnitrade” (Mar 2021)
Exhibit B8: Proprietary Trading Firms - Headquarters by Country, 2021
Exhibit B9: Proprietary Trading Firms - Headquarters by City, 2021
Exhibit B10: Proprietary Trading Firms - Anonymous Ranking by Headcount (June 2022)
Companies Mentioned
- Akuna Securities
- Ally Invest Securities
- APEX Clearing
- Balyasny Asset Management
- Belvedere Trading
- CBOE Global Markets
- Charles Schwab Corporation (TD Ameritrade, Inc., TD Ameritrade Clearing, Inc.)
- Chicago Board Options Exchange (CBOE)
- Chicago Trading Company (CTC)
- Citadel Clearing
- Citadel Securities
- CME Group
- Commodity Futures Trading Commission (CFTC)
- Cubist Systematic Strategies
- Cutler Group
- D. E. Shaw Group
- Dash Financial Technologies (Dash)
- eToro USA Securities
- Fidelity Brokerage Services (FBS)
- Financial Industry Regulatory Authority (FINRA)
- FirstTrade Securities
- Global Execution Brokers (GEB / SIG)
- Group One Trading (GOT)
- GTS Securities (GTS)
- HAP Trading (HAP)
- Hull Trading
- IMC-Chicago, LLC (dba - IMC Financial Markets)
- IMC Financial Markets (IMC)
- IMC Trading BV
- Interactive Brokers (IBKR)
- Jane Street Capital (JSC)
- Jane Street Global Trading
- Jane Street Group (JSG)
- Jane Street Options (JSO)
- Latour Trading
- Matrix Executions
- Millennium Management
- Morgan Stanley & Co (MSCO) (E*Trade Securities, Morgan Stanley Smith Barney (MSSB))
- Old Mission Capital (OMC)
- Open to the Public Investing (OTTP - Public.com)
- Optiver Holding BV
- Optiver US
- Optiver VOF
- O’Connor & Associates
- Parallax Volatility Advisors
- Peak6 Group
- Robinhood Securities (RHS)
- Simplex Trading
- Susquehanna International Group (SIG)
- Susquehanna Securities
- Tastytrade
- Tower Research Capital (TRC)
- Tradestation Securities
- Tradier Brokerage
- Two Sigma Securities (TSS)
- U.S. Securities and Exchange Commission (SEC)
- Vanguard Brokerage Services
- Virtu Americas
- Walleye Trading
- Walleye Capital
- Webull Financial
- Wells Fargo Clearing Services
- Wolverine Trading
- Wolverine Asset Management
