NBBO (national best bid and offer)

The NBBO, national best bid and offer, is the highest bid and the lowest offer available for a security across all US exchanges at a given moment. For options it is built from the quotes of every listed options exchange, and it is the usual reference for classifying trades as buyer- or seller-initiated and for computing mid prices.

Senzoukria · Glossary · Updated September 2026

At a glance

Definition
Best bid and best offer across all US venues for one contract
Uses
Trade side inference, mid prices, execution quality
Not the same as
The best bid and offer of a single exchange book

How it is formed

Each options exchange displays its own best bid and offer for every series. The national best bid is the highest of those bids and the national best offer the lowest of those offers, possibly from two different exchanges. The NBBO changes whenever any venue updates its quote, which for active index options can be many times per second. A futures contract, by contrast, trades on a single central limit order book, so its best bid and offer are simply those of that book.

Worked example

Three exchanges quote the same SPY call: 1.19 to 1.31, 1.20 to 1.32 and 1.18 to 1.30. The NBBO is 1.20 bid, 1.30 offer, a 0.10 spread around a 1.25 midpoint. A print at 1.30 is at the offer and usually read as buyer-initiated, a print at 1.20 as seller-initiated, and a print at 1.25 cannot be classified by the quote alone.

Where it matters

  • Trade side inference compares each print with the NBBO at the time of the trade; using a later quote makes the label an approximation.
  • Implied volatility is often computed on the NBBO midpoint rather than on the last trade, which may be stale.
  • Execution quality is judged against the NBBO: a fill outside it signals either a fast market or a problem.
  • Some calculations do not use the consolidated NBBO: the Cboe VIX methodology states that it uses quotes from the Cboe Options Exchange only.

In Senzoukria

On the Alpaca path, Option Flow infers the side of each print from the latest NBBO quote per contract obtained at poll time: at or above the offer is a buy, at or below the bid a sell, in between is mid, and a missing or crossed quote leaves the side unknown. The source code describes this as an approximation, because exact matching would require the quote at the instant of each trade. Prints without a readable side are excluded from directional measures rather than split between buyers and sellers.

In the same section

Sources

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Frequently asked questions

Why can a trade print outside the NBBO?
Because the quote may have changed in the instant before the report, because some trades carry conditions that exempt them from quote protection, such as certain complex or late-reported trades, or because the data compared come from different timestamps. Such prints deserve a check of their condition codes.
Is the NBBO the same as the market maker's price?
No. It is the best of all displayed quotes, which may come from different market makers or public orders on different exchanges. Any single market maker's quote can be wider than the NBBO.

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