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Revised Limit up/Limit Down (LULD) Reports
NYSE Amex provides an archive of monthly reports relating to the impact of Limit Up/Limit Down and Straddle States on options trading.
Each month's report will be based on:
- The option has at least one trades during the Straddle or Limit State
Each month's report will contain the following information:
- Stock Symbol
- Option Symbol
- Time at the start of the Limit or Straddle State
- An indicator showing whether it was a Limit or Straddle State
- Executed option volume occurring during the Limit or Straddle State
- The time-weighted quoted bid-ask spread
- The time-weighted average quoted depth of the market at the bid
- The time-weighted average quoted depth of the market at the offer
- The highest execution price for the option
- The lowest execution price for the option
- The number of trades for which a request for a review for obvious error was received during the Limit or Straddle State
- An indicator identifying those options experiencing a greater than 30% price change during the Limit or Straddle State – as measured by comparing the last available price reported by OPRA before the start of the Limit or Straddle State 1 indicates a 30% move or more and 0 indicates less than a 30% move
- An indicator identifying those options where the price of the option within five minutes of leaving the Limit or Straddle State ( or halt if applicable) is 30% away from the price before the start of the Limit or Straddle State
This list is provided for NYSE Amex Options Market Makers to help them determine the number of ATP’s they be required to have under the fee schedule. The bottom 45% of all option issues will be calculated quarterly, with a one month lag, based on the industry volume rank for all options traded on the Exchange. Any newly listed options will automatically become part of the bottom 45% until the next quarterly evaluation period, at which time they may or may not remain part of the bottom 45% depending upon their rank based on industry volume.
The Penny Pilot Program began in 2007. In conjunction with the program the Exchange has produced periodic reports that discuss the impact of penny quoting on options in the Penny Pilot Program. Those reports are below and each contains a discussion of the data analyzed and any relevant observations and conclusions.