A Descriptive Study of High-Frequency Trade and Quote Option Data*

Abstract This paper provides a guide to high-frequency option trade and quote data disseminated by the Options Price Reporting Authority (OPRA). We present comprehensive overview of U.S. market, including details on market regulation trading processes for all 16 constituent exchanges. review existing literature that utilizes options data, summarizes general structure OPRA dataset, presents thorough empirical description observed trades quotes selected sample underlying assets contains more than 25 billion records. outline several types irregular observations provide recommendations filtering cleaning. Finally, we illustrate usefulness with two applications: option-implied variance estimation risk-neutral density estimation. Both applications highlight rich information content data.