The language of IEX Options, in plain English

The difference between the market's highest price that a buyer is willing to pay (the bid) and the lowest price a seller is willing to accept (the offer/ask) for a security.

One of "the options Greeks" which is a measure of how sensitive an option's price is to changes in the price of its underlying security. The ORP uses Delta as a part of its calculations in assessing whether a quote might be at a stale price.

The highest price IEX is currently displaying to buy a given stock or options series, as distinct from the National Best Bid across all exchanges. On IEX's book, there is both the IEX best bid and the IEX best offer. The IEX best bid may be lower than the National Best Bid, or the IEX best offer may be higher than the National Best Offer.

An order or quote entered by a Member or Sponsored Participant on IEX in response to an order presented by IEX during a Step-Up Mechanism auction.

A trading strategy in which a firm seeks to profit from timing gaps between when the price of a security changes and when quotes for related instruments (like options) are updated to reflect that change, effectively trading against stale prices before participants can react.

The depth and availability of buy and sell interest in a security or options series at or near the current market price, reflecting how easily an order can be filled without materially moving the price.

An order priced such that it can execute immediately against the best available bid or offer on the market (e.g., a buy order with a limit price equal to or greater than the current offer). Marketable orders may be routed to other venues for execution if a better price becomes available at an away venue - for instance, if an ask on IEX is $10.00, but an ask on an away venue becomes available at $9.95, a better price.

A measure of execution quality that compares the price at which a trade executed to the market price at a set time afterward, used to evaluate whether a fill was favorable or adverse (e.g., whether the market moved against the filled side shortly after the trade).

The “National Best Bid” or best current bid price (bid to purchase a security) for a security or options series across all exchanges, as calculated from consolidated market data.

The "National Best Bid and Offer" across all exchanges for a security or options series, as calculated from consolidated market data.

The "National Best Offer" or the lowest current offer (ask) price for a security or options series across all exchanges, as calculated from consolidated market data.

An optional IEX Options handling instruction for Market Maker quotes designed to reduce the impact of latency arbitrage by protecting Market Maker quotes from execution at stale prices. The ORP assesses the potential for a quote to be at a stale price based on real-time quoting activity and price changes in the underlying security (such as the AAPL stock price, which is the underlying for AAPL options contracts). Market Makers can optionally elect the ORP. If the ORP generates a quote instability determination, the affected quote will be cancelled or repriced as selected upon quote submission by the Market Maker.

A measurement of whether the quote stayed the same (for a designated time range) after the time of your trade. For example, let's say the NBBO is $9.00 by $10.00 ($9.00 best bid, and $10.000 best offer) and you purchase stock at $9.00. If the quote is still the same that designed number of milliseconds later, then the quote is considered stable. However, if the NBBO became $8.00 by $9.00 within that time range, the quote would be considered unstable. Price stability matters because it can be used as a measure of the degree of adverse selection a participant faces in a market, or the extent to which true spread capture is achieved.

A state in which an option's (or its underlying security's) quoted price is expected to change imminently, as opposed to "quote stability.” On IEX Options, the ORP uses a quote instability calculation to assess whether to generate a quote instability determination, based on real-time quoting activity and the underlying price movement.

The specific percentage value, set by IEX within a defined range, that the quote instability factor must exceed (together with the applicable Delta condition) for the ORP to generate a quote instability determination and trigger cancellation or repricing of an eligible quote.

One side of an options transaction in which the seller (writer) grants the buyer the right, but not the obligation, to purchase the underlying security at a specified price (the strike price) by a certain date (expiration date) in accordance with the terms of the option, in exchange for receiving the option's premium.

IEX's 350-microsecond delay — physically implemented as coiled optical fiber — applied to incoming user generated messages (e.g. orders, quotes, purges) before they are processed by the System. The delay gives the exchange time to take in market data from other venues — which is not delayed — and perform ORP calculations as well as update prices before executing trades.

A displayed quote sitting on an exchange’s book that may no longer reflect current market conditions, potentially because the underlying security or related market changed faster than the quote could be updated by the participant.

An auction feature that gives Members and Sponsored Participants the opportunity to source liquidity on IEX on an eligible order that is marketable against the NBBO before being routed to another exchange. During the response period, Options Members and Sponsored Participants may submit responses to interact with the “SUM’d order” (or “Step-Up Mechanismed order”) with trade allocation based on time priority.

A design principle in which the same 350-microsecond latency mechanism is applied to all incoming order and quote messages from Users before processing by the System.

Refers to the Quote Instability Threshold. This is the specific value, set by IEX within a defined range, above which the ORP's calculated probability of an imminent price change is considered meaningful enough to generate a "quote instability determination" and trigger cancellation or repricing of an eligible quote.

The midpoint between the best Bid and best Offer for the security underlying an options series, such as the midpoint price for the equities symbol "AAPL" for AAPL options contracts. For IEX Options, the underlying midpoint across a specified set of exchanges is used as input to the ORP, referred to as “Signal Exchanges.” The ORP uses this as a reference price when assessing whether an option's quote reflects the current market.

A move in the Bid or Offer price of the security underlying an option, resulting in a change to the Underlying Midpoint, such as the equities symbol "AAPL" for AAPL options contracts, which the ORP's model uses in assessing whether to generate a quote instability determination.