Appendix A
Obvious and Catastrophic Errors During Limit and Straddle States
For the month of May 2015, the Exchange collected the following dataset containing the data for each Straddle and Limit State in optionable stocks.
Stock
Symbol
CRM
YELP
AVP
AVP
AVP
AVP
BRCM
Option Symbol
CRM-2015-0508-C-65.50
YELP-2015-0515-C-45.00
AVP-2015-0515-C-7.00
AVP-2015-0515-P-7.50
AVP-2015-0619-P-10.00
AVP-2015-0522-C-9.50
BRCM-2015-0619-C-48.00
Price
Change
GT 30
PCT
After
LULD
Executed
Volume
TW Avg
MBBO
Spread
TW Avg
Quote
Bid Size
TW Avg
Quote
Ask
Size
High
Execution
Price
Low
Execution
Price
Trades
Reviewed
for Error
Price
Change
GT 30
PCT in
LULD
STRADDLE
10
4.9
0.35
9.9
10.3
10.3
N/A
0
0
2015/5/7 12:58:32
STRADDLE
368
4.88
0
4.46
0.05
0.05
N/A
0
0
2015/5/14 11:36:25
STRADDLE
40
0.3
0
10.61
0.25
0.2
N/A
0
0
2015/5/14 11:36:25
STRADDLE
17
4.85
0.16
10
0.5
0.5
N/A
0
0
2015/5/14 11:36:25
STRADDLE
11
4.75
4.84
10
3
3
N/A
0
0
2015/5/14 11:45:15
LIMIT
15
4.9
0
0
0.4
0.4
N/A
0
0
2015/5/27 13:58:36
STRADDLE
25
4.96
0.47
9.89
2.55
2.55
N/A
1
1
LULD Start Time
Straddle
Limit
Indicator
2015/5/5 14:55:18
.