Appendix A
Obvious and Catastrophic Errors During Limit and Straddle States
For the month of September 2015, the Exchange collected the following dataset containing the data for each Straddle and Limit State in optionable stocks.
Stock
Symbol
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
ADXS
ADXS-2015-09-18-C17.50
9/17/2015
2:35:23 PM
STRADDLE
10
0.92
.3
73.43
High
Execution
Price
Low
Execution
Price
.45
.45
Trades
Reviewed
for Error
Price
Change
GT 30
PCT in
LULD
Price
Change
GT 30
PCT
After
LULD
N/A
0
1
.