Yes, we do have one. I think the first site was across the street from the Ritz Five (that round building with the belgium block plaza behind the City Tavern). Then, I think the Bourse Building (5th/Market) served as the exchange for quite some time.

I think that they might stay. It would be dumb to move them to NYC, because it is way to expensive up there. Hell, the New York Stock Exchange almost moved to Jersey.

From CNN Money:

NASDAQ currently plans to preserve the Philadelphia Stock Exchange's market structure, continuing to operate the electronic options trading platform alongside the options trading floor in Philadelphia. A key asset in this transaction is PHLX's proprietary trading platform, which has demonstrated best in class capacity, speed and system reliability within the U.S. derivatives markets. As previously announced, NASDAQ will launch a separate, electronic price/time options trading system in December. Once the transaction closes, NASDAQ will be the only market offering customers both exchange models -- a market maker driven model and price/time order book model. As part of the transaction, the Philadelphia Stock Exchange's operations will become part of NASDAQ's Market Services business. Upon closing, NASDAQ will become the third largest options market in the U.S. with 15% of market share.

It should also be noted that we are the home of the Philadelphia Semiconductor Index.