What Is the Options Price Reporting Authority (OPRA)?
Key takeaways
– OPRA is the industry committee and consolidated market-data plan that gathers, consolidates and distributes listed options trade and quote data from participating options exchanges.
– OPRA supplies two primary data feeds: trades (last-sale reports) and quotes (bids and offers). It produces a consolidated national best bid and offer (NBBO) for listed options.
– OPRA’s data is used by exchanges, brokers, market makers, trading platforms and data vendors to price options, measure liquidity and power trading systems. Access is available via brokers and market-data vendors or by licensing OPRA feeds directly (typically for a fee).
– Practical implications for traders: use OPRA-provided NBBO and last-sale data to evaluate spreads, volume, and implied volatility; be mindful of feed latency, data charges and the different OPRA service for foreign-currency options (FCO).
What OPRA is, in plain terms
OPRA (Options Price Reporting Authority) is a national market system plan run by representatives of the participating U.S. options exchanges. Its job is to collect trade and quote information from those exchanges, combine the inputs, and broadcast a consolidated, time-sequenced view of last sales and current quotes for listed options across the market.
Why OPRA exists
– Consolidation: without a single consolidated feed, participants would have to monitor many exchange streams to know the best available price for an option.
– Transparency: OPRA provides a standardized, centralized source of last-sale and best-bid/best-offer information that supports price discovery and fair trading.
– Market efficiency: accurate and timely consolidated options data improves liquidity and reduces execution costs for market participants.
How OPRA works (the mechanics)
– Participants: OPRA is fed by the participating options exchanges (examples include BOX, Cboe Options, ISE, PHLX, MIAX, NYSE Arca, NYSE American, Nasdaq BX Options).
– Two primary feeds:
– Trades feed: time-stamped, consolidated last-sale reports for completed option transactions.
– Quotes feed: consolidated bids and offers submitted by exchanges; these feed into the NBBO for each option series.
– Consolidation: OPRA combines quotes and trades from all participating exchanges and outputs a consolidated stream that can be used by brokers and market-data providers.
– FCO service: OPRA operates a separate service for foreign-currency options (FCOs), which are treated distinctly from other listed options.
What the NBBO is and why it matters
– NBBO: the national best bid and offer is the best available (highest) bid and (lowest) ask across all reporting exchanges for a given option series at any moment.
– Use of NBBO: traders and order-routing systems reference the NBBO to determine the best price to trade, to meet best-execution obligations, and to calculate midpoint prices and order routing decisions.
Reading options quotes supplied by OPRA
Typical fields supplied and what they mean:
– Option symbol / type (call or put) / underlying and expiration: identifies the option contract.
– Strike price: exercise price of the option.
– Last trade time / last price: most recent reported trade and when it occurred (from the trades feed).
– Bid: highest price a buyer is currently willing to pay (from the quotes feed).
– Ask (offer): lowest price a seller is currently willing to accept (from the quotes feed).
– Change: change in last price relative to prior close.
– Volume: number of contracts traded during the current trading day (from the trades feed).
– Implied volatility (IV): a derived number indicating market-implied volatility; many front-ends show IV computed from the last price or mid-price.
– Size / quantity: displayed bid and ask sizes (how many contracts are being bid/offered at the quoted price) — important for assessing depth and liquidity.
Practical steps for traders and practitioners
1. Choose how you will get OPRA data:
– Retail traders: use the market-data feed provided through your broker or trading platform (many platforms supply OPRA-based real-time options quotes as part of their data package or for an extra fee).
– Professional traders / firms: license OPRA feeds directly or get them from market-data vendors (Bloomberg, Refinitiv, etc.) or low-latency connectivity providers. Expect fees and technology requirements.
– Casual users: many websites provide delayed OPRA-based options quotes free of charge (but delayed by 15+ minutes).
2. Verify whether you are receiving real-time vs delayed data and what fees apply:
– OPRA data is commonly subject to market-data subscription fees (retail and professional rates differ). Confirm cost and whether your broker/platform includes it.
3. Use the NBBO and exchange-specific quotes when analyzing price:
– Always check the NBBO for the best executable price, but also inspect exchange-by-exchange quotes if you need depth or are routing orders strategically.
4. Evaluate liquidity and execution risk:
– Look at bid-ask spreads, bid/ask sizes, and recent volume. Wide spreads and small sizes increase execution cost and slippage risk.
5. Use implied volatility and the IV surface:
– Compare IV across strikes and expirations to detect skew, identify mispriced options, or stress-test strategies (verticals, spreads, iron condors).
6. Prefer limit orders and explicit routing rules:
– Because options spreads can be wide and NBBO changes rapidly, using appropriately priced limit orders helps control execution cost (market orders can suffer from adverse selection).
7. Monitor market open/close and news:
– Quoting behavior can be erratic at open/close and around earnings or economic releases. OPRA timestamps help reconstruct sequence of trades for review.
Practical steps for developers / quants
1. Decide on the feed source:
– Direct OPRA subscription for the raw, consolidated feeds (requires licensing and compliance).
– Vendor or broker APIs that normalize OPRA data with historical archives and convenience features.
2. Implement time-synchronization and latency monitoring:
– Options trading can be latency-sensitive. Log timestamps (exchange and OPRA), measure latency, and validate sequence integrity.
3. Store both trades and quotes:
– For backtesting, you may need both last-sale sequences and full quote updates (to simulate spreads, order execution, and market impact).
4. Handle data anomalies:
– Build filters for outliers, crossed markets, and out-of-sequence prints; reconcile with exchange corrections and OPRA busts/adjustments.
5. Respect vendor licensing and redistribution rules:
– OPRA data redistribution and display is regulated; make sure your usage complies with licensing terms and fees.
Limitations and important considerations
– Latency and sequencing: although OPRA consolidates feeds, high-frequency traders often prefer direct exchange feeds for lower latency and richer depth.
– Cost: OPRA data subscriptions involve fees that vary by type of user (retail vs professional) and by the extent of access.
– Not all instruments: OPRA covers listed options and a separate FCO service for foreign-currency options; exotic or OTC options are not covered.
– Data corrections: exchanges and OPRA can later cancel or correct reported trades; systems must handle updated, corrected prints and quote adjustments.
– Display rules and best execution: brokers use OPRA NBBO for best-execution obligations—traders should understand how their broker routes orders.
Use cases — who benefits from OPRA
– Retail options traders: see real-time quotes and last trades to make informed order decisions.
– Market makers and liquidity providers: aggregate view supports quoting and hedging across exchanges.
– Exchanges and regulators: oversight and surveillance, audit trails for trades and quotes.
– Research and analytics: historical OPRA data underpins IV modeling, strategy backtests and market microstructure research.
Where to find OPRA data and further reading
– OPRA home and plan documents: consult the Options Price Reporting Authority website (OPRA) for plan details, participant lists and subscription information.
– OPRA FAQs: for operational questions, definitions and service descriptions.
– Investopedia — “Options Price Reporting Authority (OPRA)”: a concise overview and practical explanation (source provided by the user).
Sources
– Investopedia — “What Is the Options Price Reporting Authority (OPRA)?” (https://www.investopedia.com/terms/o/opra.asp)
– Options Price Reporting Authority (OPRA) — official site and FAQs (OPRA plan and participant information)
Editor’s note: The following topics are reserved for upcoming updates and will be expanded with detailed examples and datasets.