SEC Follow Up Exhibits Part C SEC_OEA_FCIC_001760-2501

Reg SHO Pilot Report 2/12/2007
Table 4: Changes in Option Trading
This table summarizes how option trading and open interest changes when the tick and bid tests are removed. The
four months prior to the Pilot start date (May 2, 2005) are called the “Pre-Pilot” and the six months following the
start date are called the “Pilot”. The table shows the average change in option trading and open interest for Pilot
and Control stocks and estimates whether the Pilot stocks changed more than the Control stocks. Panel A reports
statistics on all options. Panel B reports statistics on short-term options. The data includes securities that had put
and call option volume in both the Pre-Pilot and Pilot periods. There were a total of 690 Control stocks and 350
Pilot stocks included in the Listed sample and 573 Control stocks and 278 Pilot stocks in the Nasdaq sample. Open
interest and volume are adjusted for stock splits. New option listings after May 1, 2005 were excluded from the
analysis. The data source for the options data is the Options Price Reporting Authority (OPRA). Short-term options
are identified using the Options Clearing Corporation directory. Paired t-tests determine whether the changes are
significant. Tests of the difference between the changes are two-sample t-tests. **, * indicates statistical
significance at the 1 and 5% level in a two-tailed test. We also test whether the difference in the change for Listed
Stocks is statistically different from that of Nasdaq NM Stocks using two sample t-tests. a, b indicates that the
difference for Nasdaq NM Stocks is statistically different from the difference for Listed Stocks at the 1% and 5%
level in a two-tailed test.
Panel A: All Options
Pilot Sample Control Sample Pilot Δ minus
Variable Market Pre-Pilot Pilot Δ Pre-Pilot Pilot Δ Control Δ
Put Volume Listed 838.56 851.73 13.17 935.66 916.72 -18.94 32.11
Put Volume Nasdaq 726.08 530.68 -195.40 664.03 589.89 -74.15 -121.25
Call volume Listed 1,306.91 1,386.73 79.82 1,322.83 1,348.89 26.06 53.75
Call Volume Nasdaq 1,194.10 925.01 -269.09 1,103.75 996.88 -106.87 -162.22
Put + Call Vol Listed 2,145.47 2,238.46 92.98 2,258.49 2,265.61 7.13 85.86
Put + Call Vol Nasdaq 1,920.18 1,455.69 -464.49 1,767.78 1,586.77 -181.02 -283.47
Put OI Listed 28,325.87 32,150.11 3,824.24 33,315.65 40,602.82 7,287.17 -3,462.93
Put OI Nasdaq 16,933.98 17,646.25 712.27 18,536.20 20,475.08 1,938.88 -1,226.61
Call OI Listed 32,878.21 38,919.53 6,041.32 34,761.23 43,566.95 8,805.72 -2,764.40
Call OI Nasdaq 27,741.65 28,724.87 983.22 27,776.23 30,522.55 2,746.32 -1,763.10
Put + Call OI Listed 61,204.08 71,069.64 9,865.57 68,076.88 84,169.77 16,092.89 -6,227.32
Put + Call OI Nasdaq 44,675.63 46,371.12 1,695.49 46,312.43 50,997.63 4,685.21 -2,989.72
Signed Volume Listed 468.35 535.00 66.65 387.17 432.17 45.00 21.65
Signed Volume Nasdaq 468.02 394.33 -73.69 439.72 406.99 -32.72 -40.97
Panel B: Short-term Options
Pilot Sample Control Sample Pilot Δ
minus
Variable Market Pre-Pilot Pilot Δ Pre-Pilot Pilot Δ Control Δ
Put Volume Listed 700.03 767.71 67.68 716.48 768.70 52.22 15.46
Put Volume Nasdaq 654.98 489.10 -165.88 588.95 537.18 -51.78 -114.10
Call Volume Listed 1,115.26 1,282.91 167.65 1,102.02 1,216.46 114.44 53.21
Call Volume Nasdaq 1,080.07 860.41 -219.66 982.65 913.85 -68.79 -150.87
Put + Call Vol Listed 1,815.29 2,050.62 235.33 1,818.50 1,985.16 166.65 68.68
Put + Call Vol Nasdaq 1,735.05 1,349.51 -385.54 1,571.60 1,451.03 -120.57 -264.97
Put OI Listed 15,320.64 23,979.47 8,658.82 16,378.07 27,621.72 11,243.65 -2,584.83
Put OI Nasdaq 11,269.07 14,017.99 2,748.92 11,421.44 16,088.30 4,666.85 -1,917.93
Call OI Listed 20,778.67 30,380.74 9,602.08 19,994.13 31,654.27 11,660.15 -2,058.07
Call OI Nasdaq 18,788.25 22,951.64 4,163.39 18,070.89 23,567.80 5,496.91 -1,333.52
Put + Call OI Listed 36,099.31 54,360.21 18,260.90 36,372.20 59,275.99 22,903.80 -4,642.90
Put + Call OI Nasdaq 30,057.32 36,969.63 6,912.31 29,492.33 39,656.10 10,163.76 -3,251.45
Signed Volume Listed 415.23 515.20 99.97 385.54 447.76 62.22 37.75
Signed Volume Nasdaq 425.09 371.31 -53.79 393.69 376.68 -17.01 -36.78
Prepared by the Office of Economic Analysis 63