Appendix A
Obvious and Catastrophic Errors During Limit and Straddle States
For the month of August 2015, the Exchange collected the following dataset containing the data for each Straddle and Limit State in optionable stocks.
Trades
Reviewed
for Error
Price
Change
GT 30
PCT in
LULD
Price
Change
GT 30
PCT
After
LULD
Option Symbol
Trade Date
LULD Start
Time
Straddle
Limit
Indicator
Executed
Volume
TW Avg
MBBO
Spread
TW Avg
Quote
Bid Size
TW Avg
Quote
Ask
Size
10/5/2015
9:46:14 AM
STRADDLE
10
3.45
0
0
1.65
1.65
N/A
0
0
10/9/2015
10:23:53 AM
STRADDLE
10
4.9
0
16.51
0.5
0.5
N/A
0
0
10/21/2015
10:24:06 AM
STRADDLE
11
7.08
0.51
9.94
7.1
7.1
N/A
1
1
GNC
PVA-2016-03-18-P-2.00
CBIO-2016-05-20-C10.00
VRX-2015-10-23-P100.00
GNC-2015-11-20-P37.50
10/22/2015
2:41:47 PM
STRADDLE
101
2.52
1.23
10
4.9
4.8
N/A
0
0
RAD
RAD-2016-04-15-C-7.00
10/27/2015
12:45:24 PM
STRADDLE
2
0.35
0
0
1.69
1.69
N/A
1
0
Stock
Symbol
PVA
CBIO
VRX
High
Execution
Price
Low
Execution
Price
.