Masscrest accuracy

In this piece we provide more context on how the data are sourced and transformed, and present accuracy tests.

1. The US option market

The US options market is heavily intermediated: nearly every trade crosses an active investor against a market maker, or one market maker against another. Retail-versus-institutional and institutional-versus-institutional prints are effectively absent. Every contract clears through a public exchange rather than an OTC venue or ATS, which makes the tape far more transparent than cash equities.