CBOE

MrJohnDoe_R

You CAN purchase information like short/long size and participant for SPX from CBOE. That's why VS3D and OptionDepth offer only GEX for SPX.

fcarlucci

Hey! There are many good learning resources out there about options 😄 For sure the CBOE course: [https://www.cboe.com/optionsinstitute/learningportal](https://www.cboe.com/optionsinstitute/learningportal) (maybe be hard as first approach) If you wanna invest in a book I liked: "A Simple Guide To Selling Options" by Kevin Smith We (Ctrl-Trade) also offer a free course that covers the basics for very beginners: [https://ctrl-trade.com/options-trading-free-course](https://ctrl-trade.com/options-trading-free-course) Good luck 😄

circadiggmigration

These are CBOE options. You can trade them when the futes open on Sunday night. They're also euro-style, cash settled.

003E003

Ibkr data can't tell you what customer type bought or sold that 500 lot. It can only tell you that 500 traded. Only the CBOE can tell you. I have no affiliation with volsignals but they are one of the few with the right data. "VolSignals primarily sources its data from OCC (Options Clearing Corporation) and CBOE (Chicago Board Options Exchange) exchange-level clearing feeds. This data provides granular summaries by participant type—such as customer buys, non-customer buys, firm sales, and market maker sales. Instead of relying on basic retail volume or guesswork, VolSignals uses this clearing data to track the exact positions held by large hedgers and market makers. They filter out noise (like market-maker-on-market-maker volume) to specifically model options Greeks (Gamma, Charm, and Vanna) and predict institutional hedging flows."

Comfortable_Flow5156

if the market crashed 40%+?? Home equity loan on house.... Doomsday account activated (YES , I have one for that situation) TQQQ SOXL JPM GOOG class C IBKR CBOE And you can swing trade aggressively post crash for about 6 months

Thebaxxxx

Vix and CBOE can suck my left nut right after i take a dump

Ok_Ad798

Across all major studies, only 10–30% of retail options traders are profitable, meaning 70–90% lose money. This range is consistent across multiple independent datasets, including academic research, exchange data, and regulator reports. Below is the precise, citation‑backed breakdown. 📌 The Actual Percent of Retail Traders Who Win at Options 1. 70% of retail options traders lose money CBOE + broker‑compiled data show: - 70% lose money overall - 10% are consistently profitable - 20% break even or small winners 2. 80–90% lose money according to academic consensus A multi‑study dataset (MIT Sloan, London Business School, OCC) finds: - ~80–90% of retail options traders lose money 3. India’s SEBI regulator: 91% lose, 9% win A large‑scale 2025 study of retail derivatives traders found: - 91% lose money - 9% are profitable 4. Average retail options trade ROI is negative Across 890,000 real trades: - Average ROI = –0.9% - Option buyers = –3.95% - 0DTE = –4.7% 🎯 So what percentage win? | Category | % Who Win | Source | |---------|------------|--------| | Consistently profitable | ~10% | CBOE/Broker data | | Any profit over a year | 10–30% | Academic consensus | | India SEBI study | 9% | SEBI FY25 | | Lose money | 70–90% | Multiple studies | Realistic range: Only 10–30% of retail traders make money trading options. 70–90% lose money. 🧠 Why so few win (based on the data) - Retail traders overwhelmingly buy options (negative expected value). - 0DTE trades have sharply negative ROI (–4.7%). - Retail trades cluster around earnings, where spreads widen 12–18%. - Institutions capture most premium via systematic selling. - Poor risk sizing: winners use 1–2% capital per trade.

ThetaEdgeHQ

The order count framing has been corrected already (multi leg spreads count as one). The angle worth adding is what the pro tag actually changes downstream. It isn't a trading ban, it's a routing outcome. Your spreads get pulled out of retail priced auctions (PIM on CBOE, FLEX on PHLX) and pushed into the inter market spread book where fills price worse, typically 5 to 15 cents per spread depending on liquidity. For active wheel or multi leg traders that slippage compounds. If you suspect you're near the threshold the cleanest diagnostic is to log 30 days of fills versus midpoint, compare pre and post tag on the same underlyings. The number tells you whether the routing degradation justifies whatever workaround you're considering.

DiamondG331

If your account at Schwab is pro and you open another brokerage account, it does not automatically get marked as Pro. I’ve open a new IBKR and E*trade after, with no issues. Someone else asked this and supposedly CBOE will mark all accounts but I don’t think that’s accurate and it has not been my experience. Schwab does allow Pro trading, no? Don’t think like Robinhood, WeBull etc will allow. I at least got some warning emails that I was approaching the threshold but when I got another one said 100%, nothing happened.

Amazing_Candidate976

This is close to what the famous Najarian brothers were supposedly doing since the 2000s. They get a lot of criticism these days, say what you will about them, but they were traders on the CBOE floor and have built/sold successful brokerages and options content for years. Heatseeker is what they sell for the unusual options flow. I’ve never used it and I’ve never traded strategies like this, just have read one of their books before.

grAsMudhOrsE

I had thought non-retail traders should have at least somewhere near 50% of volume, but came across a slide from a recent CBOE report. It shows that Customer had 2.5M volume while Pro Customer/Broker Dealer and only had aboue 230k according to the Cboe Open Close Dataset as of April, 2026. IIUC the only difference for Pro Customer is losing the priority on COA. This stats kinda surprised me. But Cboe never shared how much of the complex orders were handled by COA before executing on COB. That said def sounds like Pro will miss more on COA than I had expected before seeing the data.

ThetaEdgeHQ

The Customer Priority rule mentioned upthread is specifically an exchange level rule at ISE, CBOE, BOX and MIAX. It gives Priority Customer orders price and time priority at a given price level over Professional, Market Maker and Broker Dealer orders. It does not force any MM to take losing fills. The rule exists because exchanges want to subsidize retail flow to keep their PFOF and rebate ecosystems healthy. On the single lot priority observation, that is not a rule, it is auto quoter behavior. MM auto quoters typically do not pull or reprice on 1 lot prints because a single contract is unlikely to signal informed flow. A 5 lot print at the bid will trigger most auto quote logic to refresh, which is why your 5 lot order sits longer than your 1 lot. The threshold varies by underlying but for SPY and QQQ it usually sits around 3 to 5 contracts. If you actually want PC priority routing, you have to flag the order as Customer at a venue that respects it. Some retail brokers do this by default through SMART or IBKR routing, others route to PFOF wholesalers (Citadel, Virtu, Susquehanna) which gives you NBBO obligation but not actual exchange priority. The wholesaler will typically internalize and skip the exchange entirely if the order qualifies. Routing DMA to CBOE C2 with the Customer flag is the manual way to test whether your fills change at scale.

Ok_Freedom3290

0DTE SPX/SPY backtesting is genuinely one of the harder problems because the data requirements are brutal — you need minute-level options chains with IV, not just price. Most free sources don't have that. A few practical starting points: CBOE has historical settlement data free. OptionsDX and ORATS have decent paid historical chains if you get serious. For a framework, tastytrade's research library has good 0DTE studies you can use as a baseline before you write a single line of code. Mechanically for 0DTE specifically: iron condors and short strangles are the most studied structures. The key filter most people miss isn't the strike selection — it's the VIX regime gate. Selling premium on a 0DTE when VIX is spiking is a very different trade than the same structure at VIX 14. Start by segmenting your backtest by VIX bucket and you'll immediately see the regime dependency. For live data going forward, I use a terminal I built that pulls Deribit options flow + IV surface in real-time — happy to share if useful, it's at [alphasignal.digital](http://alphasignal.digital), free tier covers the basics.

amartya_dev

OptionMetrics and IvyDB are probably the gold standard for serious historical IV surface research, but they’re expensive. For retail-friendly options, maybe ORATS, ThetaData, or CBOE DataShop.

loldogex

CBOE?

i-love-small-tits-47

> But most likely it’s going to be a hold Lol, I’ll take CBOE FedWatch probabilities as being more likely to be accurate than whatever vibes you based this comment on

grAsMudhOrsE

There is a good chance that I’ll say f it and go back to SPXW this month. Will report back on any experience if that happens. So far the CBOE doc and some of the knowledgeable people I’ve talked to don’t think this is too much of a deal. Other options on the other hand are a very different story

Ken385

The SPX AM options stop trading at the end of the curb session on Thursday afternoon, (which runs from 415 to 5pm et) . They would not of been tradeable for the OP after that. The CBOE has said that they were going to include these options in the overnight session and allow trading up to 925am et Friday moringin, but it hasn't happened yet.

InvestigatorHefty799

All exchanges have a mechanism for it but exchanges aren't stupid, they'll review all their data to ensure if it was a trade placed in error or if it's just a shitty trade that didn't go your way. Busts are most common for massive mispricing. CBOE has 4 exchanges under its umbrella, there are 12 other exchanges to this and you would need to find at what exchange your trade executed on. Retail traders don't really know where their trade executed at so that's a hurdle in itself, institutional investors have live data for all this and can act quickly. [https://www.cboe.com/us/options/trading/mutual\_adjust\_or\_bust\_form/?mkt=cone](https://www.cboe.com/us/options/trading/mutual_adjust_or_bust_form/?mkt=cone)

ApathysLastKiss_

Technically yes, but the CBOE, the market maker could be the buyer. And when they do so, they hedge with shares to maintain a neutral position. It's kind of a fallacy to think, "if I sell a call here, there's another dude in a chair out there buying it from me". There's a middleman, the dealer. That's how you end up with call or out skew.

Ken385

I don't think broker really affects execution in the SPX. Almost all orders will be routed directly into the CBOE electronic book.

notfollowin

The CBOE Volatility Index (VIX), also known as the Fear Index, measures expected market volatility using a portfolio of options on the S&P 500. https://www.investopedia.com/terms/v/vix.asp

PapaCharlie9

Thanks for the broken link report. I fixed the first one, but the second one seems to be gone forever, so I replaced it with a similar graph of VIX term structure from CBOE.

m1nhuh

The AM SPX options always expire on the morning of the monthly contract. The settlement price is based on the value of the SPX using each stock's opening price.  Since not all shares will trade at 9:30:00 AM, the settlement price is NOT the SPX opening price and may take several minutes for the CBOE to determine the value. The symbol you can check is SOQ.

grAsMudhOrsE

Thanks! I'm on IBKR so I'm aware of the exchange fees. Overall bearable given some reduction on premium above 1.00. And the file you attached is where I got the information on the "Per CBOE" statement. I do see that for Complex Order Auction it has custom priority and IIUC COA is triggered for marketable orders before resting on COB. I normally enter my trade as a spread but legs out on exit so I imagine my entry slippage might be bigger. Do you happen to have any insights on the auction? I'd love to stay under 390. However, due to an edge case of my trading algorithm, I don't have much room left to avoid the average. Trading on /ES isn't what I had thought.. it can't replace SPXW at all. And I mostly trade SPXW so if I'm not losing too much on execution I might just take the bullet.

Ken385

Depending on your broker, you will see your exchange fees increase. You will see a difference in fill quality, especially in spreads. You will need to give up a bit more edge to be filled vs a customer orders. You're right on your customer priority comments, generally no disadvantage here in the SPX. Here is a link if you haven't seen that compares customer/MM priority (along with many other metrics) on orders on the CBOE on their different products. [cboe\_options\_product\_configurations.xlsx](https://view.officeapps.live.com/op/view.aspx?src=https%3A%2F%2Fcdn.cboe.com%2Fresources%2Fmembership%2Fcboe_options_product_configurations.xlsx&wdOrigin=BROWSELINK) I would advise you to do everything you can to stay under the 390 average.

browsk

This new cnbc CBOE options reporter guy is pretty cool, good addition

richreason1983

If David Attenborough made a documentary on wallstreetbets Here, in the volatile ecosystem of the CBOE Volatility Index, we witness a rare and curious phenomenon. It is the Green Season—a period of prolonged, irrational upward momentum. But today, a shadow falls over the charts. The Red Candle has bloomed. ​From the jagged crevices of the "Support Levels," a Bear emerges. He is lean, malnourished from months of short-selling, his fur matted with the dust of margin calls. For the Bear, this flash of red is a signal of hope. He sniffs the air, sensing the sweet, metallic scent of a "Trend Reversal." ​But he is not alone. ​Nearby, a Bull grazes on overpriced tech multiples. He is bloated, arrogant, and blinded by the sun of "All-Time Highs." Even as the market bleeds, the Bull remains undeterred. He sees this dip not as a threat, but as a "Buying Opportunity." ​The Bull charges. He exerts a massive amount of capital, driving the price upward in a desperate, final surge. This is the Bull Trap. The Bear watches, patient and ancient. He knows this momentum is hollow. As the Bull reaches the peak of the "Dead Cat Bounce," his energy fails. The liquidity evaporates. The "Buy Walls" crumble like dry sandstone. ​Now, the Bear strikes. ​With a roar that echoes through the order books, the Bear lunges. He doesn't just want the profit; he wants the liquidation. He pinches the Bull between his paws, crushing the "Stop Losses" with ruthless efficiency. The Bull struggles, bleating about "Fundamentals" and "Long-term Value," but it is too late. ​The Bear begins the feast, tearing into the Bull’s remaining equity. It is a gruesome display of market mechanics—nature’s way of recycling "dumb money" back into the hands of the patient predator. ​As the sun sets on the trading day, the Bear retreats back into his cave, his belly full of premiums. Tomorrow, the cycle begins anew. For in the world of high-finance, there is no mercy—only the hunt. ​TL;DR: Bulls got trapped at the top of the bounce and the Bears are currently having a steak dinner.

ResponsibleDream7813

Fee creep on index options is annoying but kind of inevitable now that every broker's racing to zero on equities. for SPX specifically, some people have shifted to trading the underlying index as perpetual contracts instead, which sidesteps exchange surcharges entirely. markets.xyz lets you trade SPX-style exposure 24/7 without those CBOE pass-through fees hitting every contract.

Got_Engineers

Citadel securities has a video on their YouTube recently have a guy talking about their trading algorithms or some shit like that and he talked about how each trade execute and under 40 µs aka microseconds and that’s broken down into multiple components of trade engine, risk, something else etc so like a few core actions take up those 40 µs per transaction. And they say that if they were 10 µs slower, the edge would not be there. I think about it like this each trend line a market maker exists and that’s the edge they are fighting over. So if you took any timeframe like 5 minutes , the 20 EMA, 50 EMA, 100 EMA for example, might all be different market makers. The faster, the timeframe harder and more competitive than the environment is. No one knows the specifics, but these marketmakers the biggest ones like James Street and citadel and jump trading and the biggest banks all have their own territories inside this very large ecosystem. And they are obviously incredibly good at it. I heard that the most profitable trade on Wall Street is selling short dated puts by sharpe ratio. I believe CBOE posted this research. Someone is doing that on SPY/QQQ/IWM

HotDoor4125

honestly not even joking, the progression from monthly to weekly to daily to 0DTE was faster than anyone expected. Same hour options would have seemed absurd five years ago. CBOE would absolutely find a way to monetize it though lol

HotDoor4125

lol honestly at this point nothing would surprise me. GME buys CBOE, starts trading meme options on their own exchange. Comes back full circle haha.

LastFirst22

CBOE

kvndoom

CBOE can't fuck me on semis the way it did on metals. But I still feel anxiety over how fast my accounts have zoomed up the past month. What would Kenny Rogers do?

anuveya

Black Monday aftermath. Dot-com crash. 9/11. The 2008 financial crisis (VIX hit 80!). COVID crash in March 2020. Each spike marks a moment when markets seized with fear. The CBOE Volatility Index measures 30-day expected S&P 500 volatility from options prices. When VIX spikes, it's usually a buying opportunity in hindsight, but terrifying in real-time. Daily data from 1990 to present.

ThetaEdgeHQ

the time of day is doing more of the work here than the broker. SPX 9:35 to 10 am is the post opening rotation window when market maker quotes on every leg are still resetting from overnight. the printed mid is derived from stale quotes that aren't tradeable yet for a multi leg structure. CBOE's complex order book also routes your order into one liquidity tier and holds it there. if you sit in a thin tier during that window, the same nominal mid can sit untouched for 45 minutes. the test that separates broker issue from microstructure issue: run the exact same order at 11 am with the same limit. if it fills inside 5 minutes, you were stuck in the opening rotation. if it still sits, the limit was inside the actually tradeable spread and no broker switch will help you. the_humeister's point about SPX always going through CBOE is correct and that means the cross broker comparison people are making in this thread breaks down on this specific underlying. on equity options spread across multiple exchanges, the routing argument holds. on SPX it does not.

lepus-parvulus

Route can still vary because there are multiple CBOE options exchanges.

the_humeister

Doesn't SPX always go through CBOE?

loldogex

waste of money unless youre buying data straight from CBOE to know which direction

papakong88

It is Sec 1256 per CBOE. [https://www.cboe.com/tradable-products/mag-10/mgtn-options/](https://www.cboe.com/tradable-products/mag-10/mgtn-options/)

FreeDuty6826

I've been sitting on my hands since April 2, but would prefer not to keep sitting on them until July 1. And yes, it is a CBOE thing and potentially tied to the beneficial owner, so I would have thought that switching trading platforms wouldn't matter because the "w" designation would follow, but I have read enough to suggest otherwise that I thought I would query here.

sureshot58

My understanding is that is a temporary status. It lasts one quarter. If you get your order rate down under 390 options orders per day (to me that sounds like a pretty high rate) for a full quarter, you revert. But it’s not a Schwab thing specifically. It’s a CBOE thing. No idea if it would track you across brokers

greytoc

I think u/One_Rub7972 misinterpreted your question. In the US - equity contracts are typically traded on the CBOE. These contracts can be traded during RTH (regular trading hours) which is between 9:30am ET until 4:00pm ET. Some contracts like certain ETF contracts trade until 4:15pm ET. And there are a small handful of index options like SPX and VIX that trade GTH (global trading hours) but most retail brokers do not support GTH. Contract owners - those traders who have long contract positions can exercise their contracts up generally up until 5:30pm ET on expiration date - however most brokers have earlier cutoffs and brokers have house rules on how they handle expiring contracts - especially if the contracts are ITM or if there are DNE (do not exercise) instructions.

TomatoSpecialist6879

CBOE and FINRA changed rules to allow 0dte options for indices to exist every day rather than just Monday, Wednesday, and Friday, they later expand to commodities but those traders actually have a say and pushed back enough to restrict it to just adding 1 additional day(0dte for Wednesday)

Unemployable1593

it’s not too late to buy CBOE leaps

1098duc_w_the_termi

Report: CBOE let Claude access its servers and it deleted all puts in 9 seconds and all backups. Bears in shambles.

GammaReaper_

CBOE has multiple indices that track various options strategies https://share.google/3GoaroDqsluk5XxVa

BeautifulAuthor9167

I recall a few sites fitting that description from my MS days too. If you can't find the specific one, OptionStrat or even the basic CBOE strategy gallery should provide the same P/L curves.

Unemployable1593

calls on CBOE

Winter-Extension-366

There are many firms that engage in something you could call 'market making' - just know it's not a one-size fits all, and I can only speak for that which I've seen first-hand. In years past, it felt more like prop trading + market making. At my old firm the managerial intent was to move away from anything like "prop trading" in the main desk and more towards algorithmic market making. The massive volumes and high speeds really do necessitate some rigidity here. Some of the logic behind algorithmic execution and trade hedging is coded via FPGA and lives as close to the exchange as possible to minimize latency and prioritize place in queue. A lot of market making is optimization for turnover and minimizing the position one's left responsible for carrying and hedging- but this can only go so far, and eventually someone has to hold the "hot potato" - some firms just tolerate holding it and others prioritize having no position to carry. Humans of course have to oversee all of this, even in the most automated setups I'm sure- and each firm will have varying degrees of integration and oversight. I disliked the job once I lost a certain percentage of discretion, and that has been a meaningful input into why I'm doing what I'm doing now. You're generally right about the goal of a market maker. Some will be more creative than others and look for ways to engage in risk-spreading across non-fungible, but correlated assets.. while others will literally have rules about closing individual contracts. Hedging involves more than just delta- we hedge delta at trade (or internalize/cross it); we then have a cascading matrix of risks to hedge- and most of these are greeks or other parameters in a model. Make a trade- hedge out one risk and you're left with a table of other risks. Then you (or your systems) are calibrated to optimize for the next trade which maximally reduces the matrix of risk. Maybe it's "vega" or "theta" that you have identified as most risky to carry exposure to- so your system may either take liquidity (lift an attractive offer/hit an attractive bid) or skew the liquidity provision (need 3M vega = 20% better bid for 3M options until filled) in order to continue operating in the direction of "less risk". This game never really stops - but when working properly you have a book of many options but all similarly paired off against "like" options. Your 'high level" risk is maintained- easy to manage and understand. And you will have isolated expiration effects which you shouldn't prioritize until imminent, lest you waste resources on closing inventory which has no proximity to spot level during settlement (no expiry variance). We get our data from the Cboe via a costly volume series that tells us whether each contract was net bought or sold in some predetermined time interval, in which quantity- and this is provided for each individual cohort at the account clearing level: Market Maker, Broker/Dealer, Firm, Customer (Professional), and Customer (non-Professional). They do not sell you "positions" they sell you a data series which must be adapted as volume occurs- every next file drop must be ingested and then updates the active position. You also need to pay a massive fee for historical data to backfill a contract. Technically, to have accurate positioning data you will need to start with the FIRST trade in order to put a stamp of TRUTH on your data. The CBOE isn't perfect, but this is the only method I would trust- the source of the data literally tells you the nature of the data. Anyone not using this method but claiming accuracy is literally, plainly lying to you.

Significant_Speed854

See my other comment. CBOE is releasing something similar.

TraderMcgraw

OCC data not explicitly tagged from what I understand and from my research CBOE is the only Tagged definitely customer bought or sold OCC will give you raw data then we’re back to inference OCC (or maybe another one?) has some very expensive tagged data but the problem is trades for say Nvda or whatever go through multiple exchanges while CBOE has the “real data” for SPX and VIX

jerome-yellen

**Volatility Shares Announces UVIX ETF Reverse Share Split** Volatility Shares, on behalf of VS Trust (the “Trust”) announces a reverse share split (a “Reverse Split”) on one of the Trust’s series, specifically the 2x Long VIX Futures ETF (CBOE BZX Exchange Symbol: UVIX (the “Fund”))

kgbgkb

anyone know if CBOE offers only the 0dte options for each day?

Unemployable1593

CBOE was always the play

EtTuBrute31544

CBOE is where I started 20years ago.

Consistent-Heart2949

Check out CBOE they have good resources and Options research

Aigpil

nobody's explained the mechanics yet so: the lower margin on a calendar comes from 'hedge relief' -- your long (far-dated) leg is recognized as protection for the short (near-dated) leg, so margin is roughly the net debit instead of full naked margin on the short. without that relief, the short XSP/SPX leg gets standard index naked margin. for XSP at ~560, that's around $7-8k per contract minimum under CBOE rules. for SPX (10x larger), multiples of that. under hedge relief you just post the debit. tastytrade's $15k threshold means: below that, their risk desk won't grant hedge credit even though your long leg is still there as real economic protection. the short flips to naked treatment and your buying power gets nuked. practical takeaway: any broker-specific margin accommodation on index calendars can disappear. IBKR and Schwab have different thresholds. building a calendar strategy around one broker's house rules is exactly the risk this thread is discovering.

jarMburger

I think it’s CBOE

Martery

Welp since there are mass down-votes and no explanation on why this is a bad/poor take, here's a bit more math. VIX is the volatility of a variance swap on the S&P 500. Essentially, it back-solves for for volatility expectations among investors as a forward looking metric. It works by taking a time-weighted average of options expiring over the next 30 days and their option strike prices. Read a bit into how VIX is calculated here via [CBOE](https://cdn.cboe.com/resources/indices/Volatility_Index_Methodology_Cboe_Volatility_Index.pdf). [S&P also has a pretty excellent introduction to VIX with less math here](https://www.spglobal.com/spdji/en/vix-intro) So what does that mean? Let's use your numbers. VIX is at 20, so there is an implied annualized move of 20%, either up or down. Converting it back to a monthly number, you divide 20% by the sqrt(12) for your 30-day implied volatility, so around a 5.8% expected move from a 30-day forecast which feels fairly reasonable right now: SPX was close to 7100 when I started writing this with a range of 6700-7500. If you want to see that 20% shift in a month, you are looking at a VIX of like 70 (back during Covid).

AerospaceTrader

The CBOE PUT index looks great in a backtest, but it doesn't account for broker-enforced margin calls... benchmarks don't get liquidated, real accounts do unfortunately.

notquitenuts

That's a big assumption with absolutely nothing to back it up. The CBOE (i think it was them) benchmarks strategies and selling naked puts is usually first or second for highest return. Pretty self explanatory in a never ending bull market.

TheESportsGuy

Oh yeah, what are you're getting MBO data from CBOE for free eh? Just shut it.

rvdsn

Not all publicly traded companies have options. It’s all about the being registered with an options exchange. Exchanges like the CBOE are in the business of running an options exchange. Revenue in that business is based on volume. Excluding the crazy AI week BIRD just had, it traded 80k shares a day on average. Makes no sense for a company that trades so little to offer options to investors.

TheESportsGuy

Spotgamma pays for CBOE MBO data. That's how they can classify the different types of OI, the classification of the entity placing the order is labeled for them by the exchange. That's just step 1 of an accurate MM/dealer GEX model though... This dude's free model and virtually all others are guesswork... And since GEX is reflexive, if you guess wrong about whether or not a MM was on one or both sides of a trade, you've now got a completely random 50/50 shot of being right about GEX direction at that strike. I think free is the right price for a model like this, including SpotGamma's. Even if their model was right, which I don't think it is, it's on a delay. Smart people with plenty of computer wherewithal are getting the data not on a delay and have correct models, so it's priced in by the time you see it on SG.

Arcite1

CBOE was the first modern options exchange in America, but options are traded on other exchanges too. The OCC also uses Central time, as they are also headquartered in Chicago [https://www.optionseducation.org/referencelibrary/faq/options-exercise](https://www.optionseducation.org/referencelibrary/faq/options-exercise)

Euler007

Nearly half the US population is in the eastern time zone, including wall street. Other poster mentioning CBOE using CT was informative. I'm surprised that you're surprised that we're surprised by the use of CT in the financial context.

the_humeister

CBOE lists their times in CT

hv876

I am surprised, I thought CBOE had earlier in Jan said they would avoid days with earnings for Options expiry. I am surprised they changed their plans. As a note, GOOGL avoids the option on April 29.

McKoijion

It's strange that Hezbollah waited until exactly 3:15 PM CT to start their attack. I guess the Iranians told them to hold off on attacking until the CBOE closed. The Ayatollah is famous for manipulating the stock market. https://aje.news/060cxq?update=4498400

Accurate-Exchange298

Great post — deep ITM calendars on SPX are genuinely underexplored and your analysis is already more rigorous than most. Let me add some color on each risk you raised, plus a couple you didn't mention. **On bid-ask spreads** You're right that deep ITM SPX options can have wide markets, but the real killer is *slippage on the diagonal exit*. When you close, you're simultaneously buying back the short and selling the long. In a fast-moving tape, the two legs can move against you independently before your combo order fills. Always use the native SPX combo order on CBOE — never leg in or out. Mid-price on the spread itself is usually achievable in normal conditions; getting cute trying to improve each leg separately will cost you. **On vega risk — this is your most important consideration** Here's the math that matters: deep ITM calls have delta approaching 1.0, which means their vega approaches *zero*. At 30-40% ITM, both legs are essentially trading like synthetic stock. The vega differential you're worried about is real but shrinks dramatically the deeper ITM you go. The sweet spot for your strategy is actually *extreme* depth — 40-50% ITM — where both legs are nearly pure delta and vega barely registers. Paradoxically, the shallower end of your range (30% ITM) carries more vega risk than the deeper end. **On gamma at expiry** Your mitigation (close at 30+ DTE) is correct, and I'd actually tighten that to 45 DTE given how gamma accelerates on SPX. The other thing to know: SPX settles AM on expiration Friday, which means you lose the ability to close the short leg on Thursday afternoon if something weird happens overnight. Roll or close by Thursday close — never hold to AM settlement on a position this size. **On closing-side bid-ask eating profit** Yes, and it's worse than the opening side because you're now a *motivated seller* of the long. The market knows time is running out. Budget 0.3-0.5% of SPX notional for round-trip slippage in your return models — if the trade still works after that haircut, you're good. **On IV and deep ITM** This is where your intuition is mostly right but the nuance matters. For extremely deep ITM (delta 0.90+), IV changes have minimal impact on option price because intrinsic value dominates. Your real exposure is to the *difference* in vega between the two strikes, not absolute IV. Since the 18-month leg has more vega than the 12-month leg, a sharp IV *drop* (like post-earnings calm or a volatility crush) slightly hurts you — the long loses more time premium than the short. A sharp IV *rise* slightly helps. But at true 40-50% ITM depth, these effects are small enough to largely ignore. **Two risks you didn't mention** *Early assignment on the short leg* — SPX is European-settled so this literally cannot happen. This is one of the strongest structural reasons to use SPX over SPY or ES options for this strategy. No assignment risk, period. *Margin/capital treatment* — Depending on your broker, a deep ITM debit calendar may be margined as a naked short position on the short leg until the system recognizes the hedge. Call your broker before putting this on at size. TastyTrade and IBKR are generally good at recognizing the structure; some retail platforms are not. **Your volatility bet angle** Completely valid. Deep ITM calendars as a low-cost long-vega play when VIX is crushed (sub-15) is a legitimate institutional strategy. The position is essentially long the vol term structure spread — if front-month IV rises more than back-month, you win twice. Just be aware the *timing* of that vol expansion matters; you can be right and still bleed theta waiting. **Bottom line on your return target** 12-15% annualized on a structure with \~40% downside barrier is genuinely compelling relative to IG bonds. The main execution risk is slippage; the main structural risk is a fast vol crush on the closing leg. Both are manageable with disciplined entry sizing and a hard rule to close at 45 DTE. The strategy is sound — your analysis got the key risks right.

KaleidoscopeNo7975

CBOE data says its stopped

KaleidoscopeNo7975

CBOE data says no.

InvestigatorHefty799

Volatility will definitely spike, but I don't think the spread will be negatively impacted, if anything this will add liquidity and narrow the spread. With options tho, we still have the 390 rule, which isn't regulatory but implemented on the exchange level like the CBOE. Either way, I think this is good for everyone.

MerryRunaround

If your only goal is to be in the game, you don't need the high risk and the complications of shares of individual stocks. Instead, look at the high liquidity ETFs and the CBOE indices. Much more user friendly!

Ok-Piano8789

CBOE put/call ratio 0.66 XD

options1_trader

CBOE covering options trading industry on twitter right now, pretty interesting

TaylDurden

The source of option data is the Options Price Reporting Authority directly (with Intrinio as the vendor). The reference and stock data are coming from CBOE

welrope

Spx on CBOE works on Trading view, in case ur current view is stuck

No_Art_2787

you say this, but the option market and future market, and betting market did not predict it. All CBOE/CME option productions pointed to low vol, no change and seemed positive this weekend would result in a deal. So did polymarket. Fortune favors the brave.

Primitivetrdchecker

This story may not be true, but it can definitely happen. I had a client who was a trader on the CBOE. He knew options and thought he could trade a few commodities futures, so he bought 5 soybean march futures. Options get “assigned “ on the short side, but futures are assigned on the long side. He got a notice saying he had to take delivery of 5000 bushels of soybeans. He asked me what he could do and I asked him if he had a garage and if he could clean it out. He didn’t know his long position could be “assigned “ yet he felt he was knowledgeable enough to buy futures. I helped him do a trade on the Spot market but not before I got a few jabs in about his regardedness.

sthlmtrdr

I agree. CBOE SPX credit spreads are great. Good way to make stable and solid profits.

Traditional-Koala927

I think CBOE pits came into existence when fourteen vol was god tier. So I don't think abstractions like suppression has much to do with current market state. Maybe from some fund publishing articles on substack with financing from banks.

PalpitationTricky788

Keep an eye on the VIX (CBOE Volatility Index (\^VIX).

the_humeister

MM get incentives and discounts for providing liquidity. CBOE charges at least a $0.40 to buy or sell depending on how OTM the option is. Since every transaction has a buyer and seller, that means CBOE gets at least $0.80. If you trade enough, which I'm sure an MM does, then you get discounts on these fees. MM also hedge their trades.

Bravadette

Sarah Eisen today: "Get your kids 🥭 accounts! Theyre sponsored by Robinhood" @ CBOE " You're getting into prediction markets 👉😊👈?"

Ok-Yam-6616

This is a question for people who either work(ed) at CBOE or at a large brokerage firm and know some technical details about order counting under "Rule 390". According to this Rule a retail customer cannot enter more then 390 option orders per day on average over a month.  If that happens, the customer is supposed to be tagged as "professional" by their broker. The Rule also says that the order count is for all accounts of the same customer. What I try to understand is how they do order counting across multiple accounts at multiple brokers if none of the accounts go over the limit. It is obvious that a broker can count on their end. So, let's say broker A counted 300 orders for account A1 belonging to John Doe. Also broker B counted 300 orders for account B1 belonging to the same guy. Who can determine that both accounts belong to the same person and how can they do it practically and in some automated way?

WrexyWrex

"What I will say that no one is talking about is the more and more you get sucked into that vortex it becomes this pain trade that becomes more and more painful," u/jam_croissant joins u/JermalChandler and u/TraderMikeyB on the CBOE floor: [https://x.com/tastyliveshow/status/2040089443517005929?s=20](https://x.com/tastyliveshow/status/2040089443517005929?s=20)

WrexyWrex

"What I will say that no one is talking about is the more and more you get sucked into that vortex it becomes this pain trade that becomes more and more painful," u/jam_croissant joins u/JermalChandler and u/TraderMikeyB on the CBOE floor: [https://x.com/tastyliveshow/status/2040089443517005929?s=20](https://x.com/tastyliveshow/status/2040089443517005929?s=20)

Ken385

Yes, that's a big advantage with Fidelity. They are the only broker that I know of that doesn't pass on the extra CBOE exchange fee and makes the lower commission easier to deal with when scalping.

Present_Lion_904

Thank you for your reply. I trade with Fidelity, and found that they do NOT charge a CBOE proprietary index fee compared to Schwab, which is $0.65 I believe. Fidelity round trip is about $5, but yes still pretty steep. There are always trade-offs in everything.

SmackEh

Those aren’t partisan adjectives, they describe measurable market impacts. Sudden tariffs, policy reversals, and inconsistent messaging increase volatility and reduce investor confidence. That’s not opinion, that’s how markets react. When policy becomes unpredictable, the CBOE Volatility Index spikes. That’s literally the market pricing in uncertainty. Tariffs are a tax that raise input costs, disrupt supply chains, and compress margins. You can see it in manufacturing data and earnings guidance when they’re introduced. investors hate unpredictability. Large deficits and inconsistent fiscal policy push borrowing costs higher, which directly pressures equity valuations. Tell me again how I'm using a "partisan lens".

Intelligent_Kick_436

The VIX sell off on hopes that Trump is announcing some kind of peace/cease-fire/hormuz-opening Wed night hit the wall this at around 1:50 eastern time - look at /VX futures grind upward: [https://www.tradingview.com/symbols/CBOE-VX1!/](https://www.tradingview.com/symbols/CBOE-VX1!/) NDX and SPX paused and reversed, and are giving up their gains. It's getting more and more evident with subsequent news drops that there's either going to be no change to risk or some form of escalation. Looking back a month, seeing the /VX at 24 back then versus back down around 24 doesn't make any sense - the was just starting and we're worse-off now without any progress. There's just a lot of hope temporarily pushing it down.

Drags_the_knee

I just realized the Chicago bulls and bears are probably named so because of the CBOE. I just unlocked my full brain, AMA

hv876

That’s rough. First candle at 12:35 was a 30 point move, 12:40 was a 45 point move. You had no shot, IMO. I suspect even if you got out at a loss at 12:40, CBOE would have busted your trade. Sometimes you just got to laugh on thr outside and cry on the inside.

platinumarks

I feel like you need to go to the CBOE for that

tsa31584

IBKR will let you trade global hours for CBOE products which have them.

Ihateporn2020

Bab- al- Mandeb. Like corn on the CBOE. Ship in the ME. And lose your job.

Ihateporn2020

Bab- al- Mandeb. Like corn on the CBOE. Ship in the ME. And lose your job.

Ihateporn2020

Bab- al- Mandeb. Like corn on the CBOE. Ship in the ME. And lose your job.