It does not really matter if the CBOE trades the majority of equity options or not, it is assumed that the same trend would exist in other trading exchanges as well. The CBOE simply provides half hourly reading to get a handle on the situation during the day. An EPC of .65 is still very high, and since my model has historically used the CBOE (where I can easily go and check historical data), it is best to continues with it. The recent string of extremely high EPC is almost unprecedented. One can try and rationalize it "away" at own own risk. The question is how represenative is the CBOE of all options trading, until I find that on other exchanges the EPC is drastically different, I see no reason to worry about the "purity" of these data.
I took a look at the QQQ June 36 put which traded a healthy 26K today. You want to take a guess at how many of those contracts traded on the CBOE? Exactly 3920. That's about 15%.
interesting numbers, thanks for digging and sharing. CBOE market share for all options products - including index - is right at 30%. that's down from 40% just 3 years ago.
shack, composite EPC closed today at 0.68, per Track Data. FWIW, Track Data provides RT EPC information. They have their own ticker plant. I brought up this same topic here a few times over the last year or so, but, no one seemed to have an interest. Zeev said he wanted to compare apples to apples, and, therefore, preferred to continue using info from the CBOE.
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