<t>Broadly, it is 1.Scenario:Nasdaq: 10.10 10.11BATS: 10.11 10.12Now if you were to send an order to sell at Nasdaq (marked ISO), Nasdaq would execute you at that price but you'd have ended up violating BATS unless you simultaneously send a sell order to BATS to sweep the 10.11 order. Basically, the...

<t>Since we are on the subject of pricing options, I was wondering how to benchmark how good your model is. Suppose I was building a model to price SPY options as traded on CBOE. At the end of the day, I have the bid/ask quotes for a fairly large number of options, especially for the near month expi...