Proprietary Index Marking Prices
At 3:00 p.m. CT on each trading day, Cboe calculates indicative marking prices for listed index options in the proprietary classes listed below. The purpose of the 3:00 p.m. CT indicative marking prices is to allow alignment of final prices for Cboe traded products with the settlement of related instruments traded on other exchanges. For example, the daily settlement price for CME S&P 500 ES mini futures contracts and related option contracts is based on a CME-calculated value which is determined at 3:00 p.m. CT each day. Those parties choosing to use Cboe data to determine final marking prices for exercise, profit/loss or other related calculations may choose to use the 3:00 p.m. CT indicative marking prices for SPX, SPXW and XSP in their calculations to align with CME's daily ES mini futures settlement. Similar methodology may be used for additional non-S&P index products for which indicative marking prices will also be generated.
3:00 p.m. CT indicative marking prices will be available at no charge to all interested parties via CSV files on this website (see link below) each trading day, normally within approximately 15 minutes of the market close. Note the end-of-month file reflects the indicative marking prices on the last trading day of the month and will remain available until replaced by the next month’s file.
Additionally, on each trading day, normally within 15 minutes of the market close, the 3:00 p.m. CT indicative marking prices will be disseminated to OPRA. All such prices disseminated to OPRA will include an ‘I’ indicator. These prices should not be considered an actual OPRA NBBO update as they are determined by the Exchange and may differ in value from the disseminated market reflected in the Exchange’s electronic order book.
The 3:00 p.m. CT indicative marking price for a given option may differ from the BBO price disseminated at that time when there is a change in the Cboe BBO midpoint for that option as compared to the most recent prior qualified BBO beyond a pre-determined amount. The data in the CSV files contains the indicative marking price and the actual BBO at that time.
Additional details may be found at Exchange Notice.
|Download End of Day Marking Prices CSV|
|Download End of Month Marking Prices CSV|
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