Code and Data

  1. Benchmarking intensity (BMI) data for May and June in 1998-2018. Full replication package.

  2. Daily SLIM and All Internalized measures of retail trading in options for Nov-2019 to Jun-2021 (updated in Sep-2023). Full replication package.

  3. Consolidated payment for order flow (PFOF) data from the SEC Rule 606 reports of selected brokers updated through Q4-2022.