On December 5 of last year, OPRA processor SIAC announced its biannual symbol redistribution plan, with an effective date of March 9, 2020. With these rebalances, SIAC attempts to best utilize the capacity of its 48 multicast lines, which is prudent and without a doubt a good thing for all market participants who consume options market data.
But for many of us who work in the market data trenches, we were surprised to see that TSLA – one of the most actively traded equity option contracts – would change from being broadcast over two lines to just one line, and a shared one at that. We were even more surprised when, in January, SIAC confirmed its plans rather than adjusting to rectify the potential issue with TSLA.
Obviously SIAC couldn’t have known that the redistribution would take place during such a volatile period, but the end result was foreseeable. As the linked charts show, TSLA’s line (line 43) saw by far the largest amount of data cast over it on March 9th – 8.8% of all OPRA data. The next two most active lines – lines 36 and 37, which handle SPY data – each handled less than half the data of TSLA’s shared line. In fact, in our analysis, Monday saw the most ever data pushed over a single OPRA line on an absolute basis – 77 GB (compressed). Fortunately, OPRA quote volume on Monday was approximately 50% of the some of the big days we’ve seen recently, but with the symbol distribution we now have, the potential for quote slowness in TSLA is far greater should option quote volumes spike again.