Sourcing Liquidity inIndex Options

Henry Schwartz, President, Trade Alert, LLC

Kristin Boyd, Director, Credit Suisse

William J. Ellington, Managing Partner, X-Change Financial Access LLC

Stacey Gilbert, Head of Derivatives Strategy, Susquehanna

Sander van Zelm, Head of Institutional Trading, Optiver

Source: OCC, Trade Alert (2017 forecast)

Source: Trade Alert (2017 forecast)

Modern Era

1.4B1.8B

2.0B 2.0B 2.1B 2.0B 2.0B 2.2B 2.1B 1.9B 1.9B

260M

290M243M 285M

338M323M 387M

422M 416M437M 467M0.6B

1.1B1.0B

1.2B

1.7B

1.4B1.4B

1.5B 1.5B 1.6B 1.5B

0.0B

0.5B

1.0B

1.5B

2.0B

2.5B

3.0B

3.5B

4.0B

4.5B

2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017est

ETF

INDEX

EQUITY

Index Options

Source: Trade Alert, Aug 2017

SPX51%

VIX44%

RUT3%

NDX1%

XSP1%

DJX0%

OEX0%XAU

0%

XDE0%MXEF

0%

Average Daily Option Volume

SPX51%

VIX45%

RUT2%

NDX0%

XSP1%

DJX1%

OEX0%

XAU0%XDE

0%

MXEF0%

Average Daily Open Interest

Index Options

Source: Trade Alert, Aug 2017

0

200,000

400,000

600,000

800,000

1,000,000

1,200,000

1,400,000

Qtr

3

Qtr

4

Qtr

1

Qtr

2

Qtr

3

Qtr

4

Qtr

1

Qtr

2

Qtr

3

Qtr

4

Qtr

1

Qtr

2

Qtr

3

Qtr

4

Qtr

1

Qtr

2

Qtr

3

Qtr

4

Qtr

1

Qtr

2

Qtr

3

Qtr

4

Qtr

1

Qtr

2

Qtr

3

Qtr

4

Qtr

1

Qtr

2

Qtr

3

Qtr

4

Qtr

1

Qtr

2

Qtr

3

Qtr

4

Qtr

1

Qtr

2

Qtr

3

Qtr

4

Qtr

1

Qtr

2

Qtr

3

Qtr

4

Qtr

1

Qtr

2

Qtr

3

2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017

Co

ntr

acts

Average Daily VolumeSPX and VIX

.SPX .VIX Linear (.SPX) Linear (.VIX)

Listing Growth

Source: Trade Alert, 28 Feb 2017

3273

4396

0

500

1000

1500

2000

2500

3000

3500

4000

4500

5000

0

100,000

200,000

300,000

400,000

500,000

600,000

700,000

800,000

900,000

1,000,000

January-09 January-10 January-11 January-12 January-13 January-14 January-15 January-16 January-17

Un

der

lyin

g Li

stin

gs

Co

ntr

acts

Lis

ted

EQUITY

INDEX

ETF

LISTINGS

Source: Trade Alert

0%

10%

20%

30%

40%

50%

60%

January-10 January-11 January-12 January-13 January-14 January-15 January-16 January-17

% T

ota

l Mar

ket

Vo

lum

e

Nonstandard Expirations

%WKLY

%QTRLY

%MONTHEND

60 per. Mov. Avg. (%WKLY)

Source: Trade Alert

0%

20%

40%

60%

80%

100%

120%

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

Option Volume by Expiry BucketAug 2017 YTD

PCT SPX-CUMUL MKT-CUMUL

Source: Trade Alert

0

50,000

100,000

150,000

200,000

250,000

300,000

350,000

Feb

Mar

Ap

r

May Jun

Jul

Au

g

Sep

Oct

No

v

Dec Jan

Feb

Mar

Ap

r

May Jun

Jul

Au

g

Sep

Oct

No

v

Dec Jan

Feb

Mar

Ap

r

May Jun

Jul

Au

g

Qtr1 Qtr2 Qtr3 Qtr4 Qtr1 Qtr2 Qtr3 Qtr4 Qtr1 Qtr2 Qtr3

2015 2016 2017

CBOE Extended Trading Hours Option Volume

.VIX

.SPXPM

.SPXOne Day Record11/9/2016 108,015

Source: Trade Alert, Aug2017 YTD

0

50000

100000

150000

200000

250000

300000

3 AM 4 AM 5 AM 6 AM 7 AM 8 AM 9 AM

CBOE ETH Volume by HourMarket Hours 0300-0915 (EST)

.SPX

.VIX

626

138

-107

-200

0

200

400

600

800

1000

13F Filers Reporting OptionsREPEAT NEW DEAD

Institutional Users

Source: SEC, Trade Alert

Product Concentration

Source: Trade Alert, 2017

SPY, 16%

.SPX, 7%

.VIX, 4%

AAPL, 3%

IWM, 3%

0%

10%

20%

30%

40%

50%

60%

70%

80%

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

Average Daily Volume %

SPY

.SPX

.VIXAAPLIWMBAC

QQQ

VXX

XLF

FBEEM

AMDNVDA

GDXGLD

TSLA TWTR AMZN

MSFT UVXY TLT FCX RAD USO FXI

Top25

Premium Concentration

Source: Trade Alert, 2017

.SPX, 45%

SPY, 8%

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

.SPX SP

Y

AA

PL

AM

ZN

.RU

T

IWM FB

.ND

X

TSLA

.VIX

NV

DA

QQ

Q

PCLN

GOO…

BA

C

GO

OG

VX

X

NFL

X

BA

BA

GLD G

S

UV

XY

AM

D

MSF

T

GIL

D C

AG

N

JPM

EEM

SVXY

GD

X

XLF X

TLT

CM

G

BM

Y

DIS

XOP

DIA

TWTR

WFC

BIIB

NU

GT

MU

QCO…

Average Daily $ Premium

.SPX, $1903.1M

SPY, $321.7M

AAPL, $129.9M

AMZN, $108.4M

.RUT, $88.5M

IWM, $67.9MFB, $66.9M

.NDX, $65.7M

TSLA, $65.3M.VIX, $59.0MQQQ, $37.1M

PCLN, $29.1M

GOOGL, $28.2M

BAC, $27.2M

GOOG, $25.4M

BABA, $18.0M

GLD, $17.6M

GS, $15.7M

Premium Leaders Top 80%

As of Aug 2017, Source: Trade Alert

As of Aug 2017, Source: Trade Alert

Source: OCC, Trade Alert

0M

5M

10M

15M

20M

25M

30M

35M

2010 2011 2012 2013 2014 2015 2016 2017(Forecast)

Annual FLEX Option Volume

ETF Index Stock Grand Total

Source: Trade Alert

0

0.02

0.04

0.06

0.08

0.1

0.12

0.14

0.16

0.18

Quote width and Realized SpreadTOP50 Single Stocks

avg(quotedspread) avg(effectivespread)

AAL, AAPL, ABX, AMD, AMZN, BABA, BAC, BBRY, BIDU, BMY, C, CHK, CMCSA, CSCO, DAL, DIS, F, FB, FCX, GE, GILD, GM, GOOG, GOOGL, GS, INTC, JD, JPM, LOW, MSFT, MU, NFLX, NKE, NVDA, P, PBR, PFE, QCOM, RAD, S, SNAP, T, TGT, TSLA, TWTR, VRX, WFC, WMT, X, XOM

Source: Trade Alert

0%

5%

10%

15%

20%

25%

30%

$0.00

$0.10

$0.20

$0.30

$0.40

$0.50

$0.60

Qtr1 Qtr2 Qtr3 Qtr4 Qtr1 Qtr2 Qtr3 Qtr4 Qtr1 Qtr2 Qtr3 Qtr4 Qtr1 Qtr2 Qtr3 Qtr4 Qtr1 Qtr2 Qtr3 Qtr4 Qtr1 Qtr2 Qtr3 Qtr4 Qtr1 Qtr2 Qtr3 Qtr4 Qtr1 Qtr2 Qtr3

2010 2011 2012 2013 2014 2015 2016 2017

ATM

IV

Hal

fSp

read

SPX Realized Half-SpreadAvg Quoted HalfSpread

Avg Realized Spread

ATMIV

Source: Trade Alert

0

5

10

15

20

25

30

35

$0.00

$0.01

$0.01

$0.02

$0.02

$0.03

$0.03

$0.04

$0.04

$0.05

$0.05

Qtr1 Qtr2 Qtr3 Qtr4 Qtr1 Qtr2 Qtr3 Qtr4 Qtr1 Qtr2 Qtr3 Qtr4 Qtr1 Qtr2 Qtr3 Qtr4 Qtr1 Qtr2 Qtr3 Qtr4 Qtr1 Qtr2 Qtr3 Qtr4 Qtr1 Qtr2 Qtr3 Qtr4 Qtr1 Qtr2 Qtr3

2010 2011 2012 2013 2014 2015 2016 2017

VIX

Clo

se

Hal

fSp

read

VIX Realized Half-SpreadAvg Quoted HalfSpread

Avg Realized Spread

VIX

Source: Trade Alert

---- Nov 4, 2016

---- July 21, 2017

Source: Trade Alert

---- Nov 4, 2016

---- July 21, 2017

Panel DiscussionHenry Schwartz, Trade Alert, LLC

Kristin Boyd, Director, Credit Suisse

William J. Ellington, Managing Partner, X-Change Financial Access LLC

Stacey Gilbert, Head of Derivatives Strategy, Susquehanna

Sander van Zelm, Head of Institutional Trading, Optiver