NYSE Blocks OPRA Volatilities, Greeks Feed

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Andy Nybo, Tabb Group

The Options Price Reporting Authority has abandoned plans to introduce a feed of implied volatilities and Greeks, after NYSE Euronext—operator of the Amex and Arca options markets—voted against the plan, sources say.

Any changes to OPRA’s Plan for Reporting of Consolidated Options Last Sale Reports and Quotation Information (the legal structure governing OPRA’s ability to disseminate the exchanges’ data)—such as deriving a non-core feed from its existing data—requires the approval of all nine US

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