CBOE

Galadon17

And VIX as well, also CBOE exclusive

papakong88

SPX Pros: * Higher liquidity, however, I do not find it a problem for NDX SPX Cons: * Lower premium * Price increment at 5 cents vs NDX at 1 cent - a disadvantage for spreads * Additional CBOE fee of 0.75 per contract - NDX has none

FamiliarPermission

Note they said: "subject to regulatory review". CBOE made a different announcement last year about allowing trading of expiring AM-settled index options on their expiration date and they said that would be effective September 2025. That still hasn't happened. Link to that article on their official website: https://www.cboe.com/notices/content/?id=55365

Ready-Molasses-7093

so happy to see AM expiry options now. i really hope they do this for more underlyings, especially NDX and RUT. we love you CBOE

scotty9090

Here’s the CBOE’s page on it: https://www.cboe.com/tradable-products/sp-500/xsp-options/?utm_source=google&utm_medium=cpc&utm_campaign=PMI-Retail-S&P-500-Suite---SPX/XSP-Non-Brand---US/NL/HK&utm_term=NA&utm_content=XSP-NB-EXT&gclsrc=aw.ds&gad_source=1&gad_campaignid=23423593416&gclid=Cj0KCQjw--7UBhCpARIsAGJBptjGrSVsfVPvsnX2YFdz3iV5ieGzWHTEJvnbpdUjdPBmYmQt0J3lf9saAsGiEALw_wcB

Got_Engineers

CBOE had research a while ago, where they said selling puts has been the most profitable trade on Wall Street by sharpe ratio.

Im_a_good_Gentle-man

nobody cares about CBOE closing bell wtf

BullshittingApe

Replicating this site would be a same-day job for Claude — everything on it is off-the-shelf SaaS scaffolding wrapped around a simple rules engine, with zero proprietary tech, IP, or hard-to-source data. What the site actually is It's a single-page marketing site + gated dashboard for a $37/mo SPX/ES "gamma wall" scoring tool. Strip away the copy and it's four components: a landing page, an 11-field scoring readout (Wall Strength, GEX Regime, Flip Proximity, Directional Bias, Wall Shift/Migration, Risk Warning), a Stripe paywall, and a scheduled job that recalculates the scores through the trading day. Why nothing here is proprietary The data isn't theirs. Gamma exposure (GEX) is computed from public options open interest and Greeks — the same inputs every GEX tool (SpotGamma, GammaEdge, unofficial free trackers) already uses. There's no unique dataset here, just a standard options-chain feed (e.g., CBOE, Polygon, Tradier, or a free options API) run through a gamma-exposure formula that's published and well-documented. The "scoring" is just labeled thresholds. Fragile/Moderate/Strong/Dominant, the confidence score, "flip proximity as a multiple of expected move" — these are all deterministic bucket rules on top of GEX math, not a trained model or secret sauce. Claude can write that logic directly from the plain-English descriptions already sitting in the page copy. The frontend is a template pattern. Hero, "how it works" 3-step, feature breakdown with screenshots, single pricing tier, FAQ, disclaimer footer — this is the standard indie-SaaS landing page structure, almost certainly built fast with Next.js/React + Tailwind + a component library, deployed on Vercel. Nothing about the layout, animations, or copy tone is technically defensible. The infra is commodity. Stripe for billing, a cron job or serverless function for the intraday refresh, a database row per session snapshot. All boilerplate any competent dev (or Claude) assembles from memory. None of these steps involve novel engineering — it's assembling known primitives. Want me to build a working clone right now?

kmouratidis

After today my only hope is for an Iranian missile to hit CBOE's headquarters and wipe out my option trades.

Fit_Equal6932

From the CBOE's perspective they count how orders show up on the exchange, a broken up order will count as multiple. Here is the technicality. Let's say there are 10 contracts at a $1 and another 10 at $1.10, you send an order to lift 20 contracts with a limit price of $1.10, the exchange sees it as a single order but would print two fills for it. In this case you used up 1 order. Let's say the wholesaler did split up the order and gave you fills from multiple exchanges then you would have utilized multiple orders since each exchange will count the one it saw. Most people never have to deal with this. A lot of people who trade a lot do scalping with small contract sizes and are fine with the simple assumption. But if you are also putting on large sizes and sending a lot of orders then you need to be aware of all these subtleties.

fujimonster

and all of them have that rule -- it's a CBOE rule, the 390 per day average rule

mookie_uke1619

The market will gain and lose a percent every day to trade flat daily through the foreseeable future. Options are priced beyond the range. Any move is a loser. Sit this out until the algorithms and CBOE options writers are no longer able to fleece the retail trader.

iron_condor34

"I keep reading about delta-neutral strategies. Is delta neutrality particularly useful when IV is low, or am I conflating two separate concepts?" All delta neutral means is you're trying to take on no directional exposure of the underlying. Isolating for the movement of the underlying you're trading. And changes in implied vol. But, there will be some directional exposure taken due to once the underlying moves, your deltas will obv change. Then you'd come up with an idea of when to hedge your deltas. "• How do you approach low-IV environments? Do you simply sell less premium, or switch strategies/exposures?" You're a retail trader. You can go and look for areas of the market that are moving around. If stocks aren't moving, go look at bonds, or metals, etc. You can keep selling vol but then it really becomes a game of sizing and risk. Also, short vol can be pretty good when vol is "low" because you make money when the underlying isn't moving. You have to come up with the distinction if it's worth it to sell. Looking into volatility risk premium would be worth your while. With the Vix; I wouldn't blindly trade seasonality outside of maybe holidays. It can be a pretty good trade to be short vol into a holiday. September maybe historically good for volatility; doesn't mean it's always given to go up. You also can't trade the VIX index. You can trade VIX options, futures or the vol etp's. Your best bet is to pay attention more to the futures. Spot VIX maybe at 14 but September VX futs are trading at 16.9 and OCT is 18.73. That's what you're trading. There's good material online to read about the VIX. CBOE has the white paper on it plus the VIX decomposition that came out last year.

Antifragilitee

Haven't read that one — on it now, thanks. From my results and your Summary it sounds like we may have converged on the same headline: implementation (especially when you sell) dominates the strategy design?? On granularity: my archive is EOD only — every listed contract with bid/ask, volume, OI and greeks at each close, which for $590 is absurd value. Intraday exists (CBOE DataShop etc.) but it's an order of magnitude more money. Worth knowing for my numbers: the 50x trigger is checked on daily closes, so the big monetisations (86x, 107x) are close prints — a live intraday trigger would have seen different (possibly better, possibly worse) fills on the actual panic days. And yeah, happy to talk more — here or DMs!

ThatsAllFolksAgain

Options should be outlawed. They should change the CBOE operations using the polymetric betting model. Break the link between shares and options. The options have just become too easy to manipulate for the likes of Citadel and Jane Street. This legal theft must be stopped.

RuleSafe6767

Anyone picking up cheap AMZN on CBOE EDGX weekends trading right now? It traded as low as 223, but is now around 256. You can see the orderbook and trades: https://www.cboe.com/us/equities/market_statistics/book/amzn/, click the EDGX exchange

AphexPin

CBOE is a completely different feed. OPRA is not 'wrong', you have austigmatism and should see a doctor ASAP. You can get OPRA for $200/mo. It's what most people do. And the OF is unsigned, and it's most the options volume. Pull your head out of your ass.

D4vidWebb

Where do you get the data? From a CBOE API or do you scrape it or something like that? Genuinely interested. Looks good :)

vandalizethethief

Hey man, just go look at this website. I would never share this filth unless it was surprise. owned by SoFi who is like an abusive bank. First, it’s “check out my high interest saving account”. Then it was don’t you want to pay me $120 a year for access to that interest? What, hell no. Then you offer me 1% match on taxable accounts now it’s 2% percent but it’s given up front so they have horrible clawbacks. I had no idea and deposited $10k to buy automates, mainly CAIE and CAGE plus a little bit of long term bonds that I figure if they go tits up then I will be worried about looters not my portfolio. Don’t sign up for anything just look at what AI trading is good at it and all great traders are good at it because it works quickly but this is more established strategies you can copy and adapt. Basically, you want money or to be famous on some The drawdowns suck though but stick to the tried and true quant models https://www.composer.trade I also called out Hyperliquid and PURR months ago and mentioned them by name in a NASDAQ goes to 23/7 or whatever. It got an insane amount of upvotes but I said “because of Hyperliquid”. Now look at these bums over at the CME, CBOE and NASDAQ. Scared shitless of perps. Faster, less fees, better design and now they can’t have their fees because as a token holder you basically get 99% of Hyperliquid’s revenue of fees through 24/7 buybacks. We profit, they profit and it’s the most share/token holder company I’ve come across in a while. That is their selling point. No VC money, 11 guys, all geniuses at HFT and MM at Citadel just bootstrapped. It blew up overnight and then rode the crypto Trump boom but set itself apart when it took over oil trading with crude and Brent futures built into a perp, 24/7. No one wants to get fucked by Trump on a Friday. Turns out you don’t have to & quickly oil futures opened at Huperliquids perp pricing for Brent and crude. They did a great job on trading the pre-IPO of CXMT (biggest Chinese DRAM company) within a few percent which is much more accurate. Sigh….too much BTC ETH SOL HYPE trading, not enough sleep hence all the “caffeine” and rambling

Illustrious_Rub2975

Fair enough if you want to reduce your original argument strictly to “there is a better way to estimate positioning than naive OI assumptions,” I don’t disagree. Better participant/open-close information obviously improves the inference. That was never the interesting disagreement. But you’re now claiming I invented everything beyond that, when you literally wrote: “You don’t need the 500 underlyings to have predictive power trading SPX for example.” You also said GEX “shows biases in how the market moves” and that traders can use those biases “to improve the outcomes of many different types of trades.” So predictive usefulness was not a phantom claim I introduced. You explicitly brought it into the discussion yourself. Likewise, you didn’t merely say the CBOE data produces a *better estimate*. You said it allows firms to “compile and track actual market maker positions precisely. So no guessing.” Again, that is a substantially stronger claim. If your position now is simply: **naive OI GEX is badly specified, richer transaction classification produces a superior estimate of listed SPX dealer positioning, and that positioning should be interpreted as a market-state/hedging-flow tool rather than a directional signal** then we’re actually much closer to agreement. But once you say it has “predictive power,” describes exploitable movement biases, and can improve trade outcomes, you’ve moved beyond measurement methodology and made an empirical claim about the information contained in that measurement. At that point asking what incremental predictive information it actually contains is not a deflection. It is the obvious next question. And no, you don’t have to teach me how to trade it. But “go learn from someone else whether it works” isn’t evidence for a claim you already made about its predictive power. I’m perfectly happy to drop the illiquidity tangent because you’re right that it wasn’t the original topic. But you can’t retroactively narrow your own comments and then accuse everyone else of inventing the parts you actually wrote.

fuckagriculture

it's also pretty useless. The CBOE released a paper on it, dealer hedging only makes up at most 0.2% of daily volume. [https://www.cboe.com/insights/posts/0-dt-es-decoded-positioning-trends-and-market-impact?utm\_source=chatgpt.com](https://www.cboe.com/insights/posts/0-dt-es-decoded-positioning-trends-and-market-impact?utm_source=chatgpt.com) For heatmaps I think OI based ones are probably better for getting an idea of how the market will move with positioning

Ken385

There are 18 different options exchanges. Each has its own rules on order of fills in its book. Some offer retail priority, some offer price time, some are pro rata. They also differ by products; SPX is different than SPXW on the CBOE. So, you can 't say the book is first in first out. You can be first on one exchange and an option can trade later on another exchange without you being filled. MM's typically quote wider markets in less liquid options. If you place an order that they consider a good buy/sell, they will typically join you on other exchanges.

horrorpages

Most of these services are providing naive output via low-cost data providers. They slap an $80-300/month price tag on their product hoping retailers don't know the difference. There's maybe only a handful (I only know of 2, VolSignals comes to mind) that are using legitimate positioning and the best available CBOE data for SPX/VIX. Expect to pay on the upper end for those services. I'm still skeptical however (from the futures side). When the levels hit, they hit nicely. And, all the GEXers come to its defense. But, they never show us that the majority of this stuff is failure. Even worse, most of the junk I see are "experts" with their post-mortem market analyses for why a certain level responded a certain way based on a certain Greek with a certain statistical value at a certain strike. You'll see contradictions daily. I'd prefer random lines and psychological levels to get the same edge without the mental overload.

duboilburner

This is muddied by the fact few sources actually have accurate dealer gamma exposure. The only source for \*actual\* dealer positioning from CBOE only exists for two products: VIX and SPX. ANYTHING and EVERYTHING else is almost guaranteed to be made up data via the naive model that assumes all calls are sold short to dealers and customers buy all puts for protection. Very inaccurate and borderline useless assumption. So, even for the couple of places that DO have accurate dealer positioning (UnusualWhales' Periscope, VolSignals3D, OptionsDepth, SpotGamma) it is still just information that can help inform your trading, but it is not 100% deterministic. I have found it, with the help of interpretation from someone who was infact an ex-MM, to be useful and I have decided to not take some trades that I would have attempted to risk in the past because it gave enough information to say the bounce I would have bet on likely wasn't going to go far. And it was right. The accurate data can show you where customers feel safer in selling puts or selling calls, making dealers net long those strikes, and it also can give you bounds of the range we're likely to stay in. I've seen a lot of pivot points happen at important levels generated by the data. It gives you handy targets for getting in and out of trades that does often work quite well--whereas without the data, I might be prone to holding on too long and having it go against me. It's still not going to teach you how to trade. You will want to use it in addition to other skills and ability to read the tape, watching what implied vols are doing and maybe even watching correlated assets when trading SPX. It's not an end all be all, especially in this environment where we have an administration that is actively manipulating the market \*and\* insider trading off the manipulation. The guy I learn from did say that summers 2023 and 24, it was like shooting fish in a barrel with the real dealer positioning. But we're not in that environment anymore. Summers with lighter liquidity tend to work very well for these models, but it's a lot less clear when you have an administration manipulating things. So yes, maybe it's not worth paying for the info in this environment, but then again, with that attitude, maybe it's not worth trading at all given the added unpredictability that is having a "human VVIX" for a president.

Illustrious_Rub2975

You’ve got one legitimate point buried under a lot of overclaiming: OI-based “naive GEX” is a crude proxy, and richer participant/open-close data can improve the inference of who is carrying what. Fine. The problem is that you keep treating every step after that as if it automatically follows. Better transaction classification does **not** automatically mean you know the complete economic dealer book. And knowing dealer positioning more accurately does **not** automatically mean the resulting GEX measure has predictive power. And predictive information does **not** automatically mean there is a tradable edge after costs, conditioning and competition. Those are separate empirical claims. You literally said that with the CBOE data you can “compile and track actual market maker positions precisely. So no guessing.” That is much stronger than saying the data is better than naive OI. SPX sits inside a much larger ecosystem: futures, ETFs, futures options, FLEX, OTC exposure, structured products, dispersion, variance exposure and cross-hedging. Better visibility into listed SPX flow can absolutely improve an estimate, but it is not synonymous with observing the dealer’s complete economic risk or future hedge demand. You also seem to oscillate between what GEX supposedly does. At one point you argue it has predictive power for SPX; elsewhere you correctly say it does not give a buy/sell signal or predict a “pin,” but instead describes biases in how the market may move through certain ranges or times. That latter claim is much more defensible. But then test **that** mechanism. Show that your richer GEX estimate adds incremental out-of-sample information about conditional volatility, price response, mean reversion/trend amplification, strike-crossing behaviour, or hedge-flow sensitivity after controlling for the obvious state variables. Simply saying “you’ve only seen naive GEX” is not evidence. The illiquidity exchange makes the inconsistency even clearer. You said: “Why would I look for edge where there is none?” Specifically referring to those illiquid products without obvious hedging mechanisms. Then when challenged, your position became: “There are thousands of pieces of data I don’t look at that ‘may’ contain edge. You can’t look at everything.” Of course you can’t look at everything. Nobody expects you to. But **“I haven’t investigated it” and “there is no edge there” are completely different statements.** And the Mars analogy doesn’t rescue that. Low liquidity does not imply no edge. If anything, weaker participation, poorer price discovery and limited arbitrage capacity can create larger gross inefficiencies. Whether those survive spreads, impact, capacity and sizing constraints is the actual empirical question. That is really the recurring issue throughout your replies, you demand evidence from everyone else, but when it comes to your own preferred framework you repeatedly jump from: **better data → better positioning estimate → meaningful market mechanism → predictive power → tradable edge** without actually demonstrating each link. Maybe the richer GEX data really does contain useful information. I’m completely open to that. But “the real GEX works, you just don’t understand it” is not an argument. Show the incremental predictive value.

MrJohnDoe_R

This is all true for everything except SPX. CBOE provides intraday data fro SPX and categorizes trade by participant so one can rebuild dealer's positions book and calculte greeks using those positions. This works pretty well for 0DTE SPX but everybody have to remember that MM are not only participant on the market and one news can change positions significantly.

IrishJohnnie

The research you cited predates the tagged version of this dataset by a few years. How much did you spend for the data? What is your test methodology to prove that the tagging is not accurate? The CBOE has access to all of the metadata around a trade that we don't.

003E003

ALL the cheap "Gex" services you see are using what is called [Naive GEX](https://www.google.com/search?q=what+is+naive+gex&sxsrf=APpeQnsW26fpfxLoUL4KL87i1b0mM43YKw%3A1787540415249). Which means they are using freely available Open Interest data OPRA and then making some assumptions (guessing) about whether market makers are long or short that Open Interest. The assumptions they make are very very very flawed so the resulting data is garbage. Some claim to have a methodology for their guessing but it is also flawed and it is still guessing. But the data is free and the story sounds compelling because there is actual truth and logic to gamma hedging influences. It is just that the data is bad and the details are dumbed down so option noobs think they can understand it. By cheap I mean under $200 a month. A select few companies actually purchase a different data stream for the CBOE (about $20k a month) which tags exactly which customer type (MM, customer, dealer, etc) buys or sells every transaction. With that you can compile and track actual market maker positions (the only ones we care about for gamma hedging) precisely. So no guessing. It is a complex thing to learn the intricacies of. It is not just....here is the call wall, that is resistance. That is not it....at all. If you are interested to learn, start somewhere like this [https://www.youtube.com/watch?v=ydrkaO4-rtQ](https://www.youtube.com/watch?v=ydrkaO4-rtQ) And your comment raises a great point when you say "how I was trying to use it". This data is a tool. The tool works. But every tool doesn't work for every task. A hammer works for a nail but not for a screw. The key to the whole thing is developing a trading strategy which best utilizes this tool. Easier said than done. But just because you have not found the right strategy does NOT mean the tool doesn't work. And just because the tool works doesn't mean it works for every strategy.

Fit_Equal6932

It's funny that you approach everything as a challenge. I will tell you this though that you haven't yet looked at the illiquid tickers which occasionally pick up options volume and don't have any natural hedging mechanism in terms of a futures or an ETF product. The impact from options positions in those sort of tickers can have a meaningful effect, go study it. If anything it seems like you don't understand SP500 ecosystem as well considering the way you are arguing, you are literally taking the most complex product ecosystem that is traded widely in a global market with lots of layers and opacity (things like OTC trades, TRS swaps, FLEX options which only print EOD) and believing that a CBOE provided order flow segmentation can give you meaningful levels is just a load of crap. People using that $300 a month service that you seem to advertise here in a sneaky way is what you claim is meaningful yet the whole market has access to it. Good luck with your beliefs, you clearly don't look at the data or validate any assumptions.

IrishJohnnie

A bunch of this research is obsolete because the CBOE started publishing which market participant is holding the positions in as fast as 1 minute intervals, at least for SPX (see https://datashop.cboe.com/cboe-options-open-close-volume-summary). They also have a new trade-by-trade dataset for some exchanges that is not real time yet https://datashop.cboe.com/enhanced-us-options-trade-by-trade-execution-detail). I that sometimes it is dog instead of its tail probably because we don't know the rest of their portfolio.

Fit_Equal6932

If you are talking about this: [https://datashop.cboe.com/cboe-options-open-close-volume-summary](https://datashop.cboe.com/cboe-options-open-close-volume-summary) Yes then this does provide some extra information that OPRA feed lacks. This is truly meaningful only for SPX since that is a product where CBOE has a monopoly and is the only exchange that trades it therefore they can provide useful position level data. It will be worth a look so thanks for pointing it out but my general approach will still be of healthy skepticism since the SP500 market structure has many layers. This is raw data and one would need to see if any useful metrics can be built on top of this.

Fit_Equal6932

There is no way for you to build the complete dealer book including the 500 underlyings to understand what risk they are carrying. They manage their overall exposure in totality. For you to make a counterpoint present you need some data. CBOE and is happy to sell you data too, doesn’t mean there is any predictive value. Customer type still doesn’t let you get a handle on the open interest. Infact once can try to do this with the extra attributes available in the OPRA feed messages and the order book but it doesn’t get you anywhere.

003E003

Yes your GEX assumptions are simplistic and problematic...... But it is NOT true that we can't do any better. You can... and some services do....pay for the correct data from the CBOE that tells us what customer types buy and sell every transaction. Vol Signals is one company that does this and actually has actually position and gamma data.

vandalizethethief

I think this is more a reaction to Hyperliquid and their 24/7 perpetual futures which currently combine the speed & execution of a centralized exchange with the benefits of defi (transparency & privacy). Hyperliquid did over $220 billion in perp volume in July. One example is oil traders hedging over weekends due to Friday news dumps & the pros noticing that the CL and Brent futures open at perp prices. They pose a huge existential threat to CBOE, NASDAQ, and CME in no rolling contracts, settlement, delivery etc…and the lowest fees around. Market share in futures, options, etc….are starting to show signs of weakness.

Be-ur-best-self

This is insane. What could Trump do? Send the marines to the trading pits at the CBOE?

Breathofdmt

Why would anyone pay you when the API is 80-160 dollars for personal use I actually made one of these dashboards for myself and offered it widely, made it 18 months ago when the AI tools were less capable. Now everyone and their dog has a vibe coded GEX platform and its embarrassing at this point so I keep it just for personal use. Good luck trying to turn a profit and dealing with customer service. You'd be lucky to get 20 bucks a month. I've seen around a dozen pop up in the past 6 months. Unpopular opinion here, obviously, given the responses but I don't think the "naive" GEX is useless, gives you a good overview of the structural levels in the market, especially if you look at stocks, ETFs, etc. Good for developing targets and pivots too. I use it for futures though and it's not a standalone edge, just a worthwhile way to find levels. The CBOE C2 data is just SPX and VIX. Again, competitive space now since the barriers to entry are lower and you're competing in the most efficient market in the world. Now, if you could prove your edge with it and that's part of the service, people might pay attention but I doubt that's why you're here.

New_Emergency_5547

Good question. The #1 reason is **rapid "what-if" hypothetical stress-testing** without friction: 1. **Zero Login / Paywall Friction:** Most visualizers either lock 4-legged strategies behind monthly subscriptions, force account signups, or have sluggish interfaces with delayed data. 2. **Hypothetical Parameter Sandboxing:** Live quote tools tether you to current market bids/asks. A sandbox lets you model pure theoretical scenarios before market open — e.g., *"If I enter a 45 DTE Iron Condor and IV drops from 60% to 35% while the stock tests my short call wing in 14 days, what does my exact P&L curve look like?"* 3. **Instant Leg Tweaking:** You can override IV or days independently on individual legs to model earnings crush or volatility skew. That said, connecting a free delayed stock/option chain lookup API (like Polygon/CBOE) is on the roadmap so users can auto-populate live tickers as well as sandbox them manually.

MrJohnDoe_R

>"We use the standard convention: dealers are treated as **long calls, short puts** against customer flow" This assumption is simply wrong. If customer has spread it has both long and short position at the time. Without knowledge who helds the position one cannot reconstruct Dealer-positioning. It's just Open Intereset heatmap. The only exchange that reliably tags position data is CBOE for SPX. That's the reasons why paid services provide Dealer-positioning and gamma exposure for SPX only.

just-in-time-paralel

CBOE is going to cure cancer When stocks go up 170% in one day, cancer is cured as a side effect. CBOE is the next stock that will cure cancer. At this point it should be obvious that far out of the money calls on traditional blue chips like pharma is the way. People with cancer will need to pay for their cancer treatments. How? By buying calls.

just-in-time-paralel

CBOE is going to cure cancer When stocks go up 170% in one day, cancer is cured as a side effect. CBOE is the next stock that will cure cancer. At this point it should be obvious that far out of the money calls on traditional blue chips like pharma is the way. People with cancer will need to pay for their cancer treatments. How? By buying calls.

ShimmyxSham

Is there a CBOE bets group?

Juhkwan97

Yeah you might have to wait til they do another run of them. They came to Seattle last year but I didn't go. I'd suggest googling CBOE and CME to see what they offer. I know they do conferences but they might be for more industry level type people....

TheWeebles

I used to work for a primes brokerage at an investment bank. they've been trying to get me back for about half a year now. I told them only if I can work from the Tokyo office and support US Equities/Derivatives. If this is successful it won't stop. Would go NYSE/CBOE then MEMX/MIAX in US and might get adopted worldwide. I would imagine weekend trading as well. That would take years however, but that is my guess

YourUncleBuck

NYSE and CBOE were already planning to do the same and have been already approved.

vandalizethethief

Yeah, here is the list by [CBOE](https://www.cboe.com/notices/content/?id=61230). I guess they want to test it out some more before going live. This was approved in May or something by the SEC. I mean no one should. It's just not a positive EV trade unless your confident of something most people missed (can't be noticed by AI) or are tracking big options trades & just copying the big money.

vandalizethethief

What? Im talking about the [CBOE](https://www.cboe.com/notices/content/?id=61230), the fucking people who make the damn options market.

TradersUni

Yea I understand. GEX is a calculation. I've learned that from the videos i've been watching, open interest x gamma per strike. I've tried the EOD historical GEX data on just a few historical trading days and it's not as accurate as I would like it to be for backtesting. I've heard of tools like VolSignals, Quantwheel, Quantdata, and some others. My goal is to just find a good trustworthy tool to backtest GEX levels on to see if it's suitable or not. And possibly overlay it on my tradingview chart so I don't have to keep going back and forth. (Not totally necessary but convenient) CBOE datashop can run into the hundreds and the thousands.

__Lukewarm

Damn, I knew I shoulda bought CBOE

OurNewestMember

Not understanding is fine. Not having authoritative documentation is not fine. Expiration - it's 8 pm ET on expiration day, per OCC by-laws (p 144 in the latest revision) Termination - best defined in sec 1256(c)(1). ("by offsetting, by taking or making delivery, by exercise or being exercised, by assignment or being assigned, by lapse") Delivery - T+1 for both the long and the short leg (this should come from CBOE and the OCC) Let me know where you think my "not understanding" is among these. Feel free to point me to authoritative documentation that corrects my mistake :) I agree we don't have documentation about the delivery of cash (which I plainly said). The closest related thing we have is 1256(c)(1). Sec 1233 (which obviously depends on settlement because that's when the property is borrowed) makes it clear that it does not apply for cash deliverables, so that doesn't help us for SPX/SPXW. Basically, I think we should be able to point to text of the IRC (or punished guidance from the secretary of the Treasury) that explains the use of the index option settlement date for the short, exactly like sec 1233 does for stocks. A hyperlink to either IRS.gov, federalregister.gov or the IRC -- that is literally what I'm trying to find.

iron_condor34

The CBOE one? I've read it before. Have you read the CBOE decomp paper on it?

Repulsive-Floor-3987

The CBOE announcement says it's 7:15-9:25am and 4-4-15pm - not around the clock. Or am I overlooking something?

Jagged_Tide

So what is the CBOE thing exactly?

CuckedbyPowell

looks like it's been delayed, CBOE just updated their website saying crossing out monday and now it says TBD

ThetaEdgeHQ

Worth separating two things people are conflating here. GEX is not a data feed you buy, it is a calculation on top of the options chain (open interest and gamma per strike). So the thing that costs money is historical open interest and greeks, not "GEX" itself. dolthub has some free EOD options data, ORATS and CBOE DataShop sell the clean historical chains. Once you have the chain you compute GEX yourself, which also lets you control the assumptions instead of trusting someone else's line. And the assumptions are the whole ballgame, which is why bradley is seeing it lag. Retail GEX bakes in a guess that dealers are long calls and short puts, and the published flip level lives or dies on that sign convention. When you backtest price reaction around a GEX level you are really backtesting the accuracy of a dealer positioning assumption, not a law of physics. That is most of why the correlation looks weak. The bigger trap for your exact tickers: GEX built from end of day OI will systematically misplace levels on SPY, QQQ and SPX, because those are precisely the names where same day 0DTE flow dwarfs the resting OI, and none of that intraday flow is in the EOD snapshot you backtest on. So an EOD historical GEX backtest on SPX is close to measuring the wrong book. If you are serious about backtesting those you need intraday chain snapshots, which is exactly the expensive part nobody is selling cheap. On the "does it provide an edge" question: it is a map of where dealer hedging can amplify or dampen a move, useful as context for how price behaves once it reaches a level, not a predictor of which level it goes to. Pair it with expected move so you have both the where and the how far.

YTLupo

Im not sure, because right now they (NASDAQ / CBOE) are trying to prevent fills for that

IrishJohnnie

Except the CBOE has all the information they need to come up with this. If you actually read the link I sent, and the schema that comes with it, it tells you who has what. The trades data you're talking about needs to be inferred if it's BTO, STO, BTC or STC. No one, outside of the CBOE, will know the actual trade because they don't make this field public.

Tough_Bug_783

Half fair. What CBOE actually sells is order data. The expensive open close feed tags trades as customer or firm, which makes the same guess better, but it's still a guess about dealer books, not a copy of them. Nobody sells actual dealer positions. If a service says they read dealer books straight from CBOE they're describing their model generously.

IrishJohnnie

> Dealer positioning is inferred from the OI Probably for the cheaper services. The more expensive ones gets this straight from the CBOE.

makmanos

I've lived through all that, I was working one of the biggest market makers at the time, and what I remember the most is how many people got burned on AMZN stock. The euphoria of the market every time the "wiz" spoke, (aka Alan Greenspan) the smugs of CNBC (Kramer, the asshole on CBOE's floor whose name I don't even care to remember now) I remember of course books after book being written for some of the biggest catastrophes we've lived the most spectacular one that of LTCM 10 years before the '08 disaster -so much for the UChicago gang of Options pricing- which at the time I had hardly taken note of - result of the geniuses of Greenspan, Summers and Rubin. I don't remember the suicide epidemic you seem to describe though (apart from Madoff's son after the scandal broke out)

aguslucas

Did this hold? I had a couple of SPX options at the same time, and CBOE has adjusted one of them from $17 to \~$6.6 after the fact

shadowhand00

Sounds like CBOE is busting some of the short seller situations that I saw yesterday proactively. But you're right they will most likely let this ride. But its possible.

ThetaEdgeHQ

Worth separating two different numbers here. The 6.4k you saw seconds before close was your position marked at that last dip, which is just a live quote reacting to the 10 point drop. Settlement is a different number: SPXW weeklies are cash settled off the official 4pm closing value of the index, not off the lowest intraday print you happened to catch. So your actual cash is the intrinsic at that official close, strike minus settlement value, times 100. If the index bounced back into the bell, the settlement lands lower than the 6.4k spike you saw. It is real cash and it will hit your buying power once it settles, usually overnight, you just want to price it off the settlement value on the CBOE page rather than the number that flashed at the dip. Congrats on the trade either way.

RandomRedditor5689

This a fair bit of nuanced / wrong / misleading information in this post. This contra-exercise is a very important aspect of options that not many people really understand. Its important to be precise. a.) No broker will accept your instruction 90 minutes after the close, that is the CBOE cutoff ... most brokers have an earlier cut-off , like 5:00 pm EST or earlier. check with your broker ahead of time b.) The price movement doesn't have to be "way past" your strike , you just need it in the money enough to make exercise economical consider after hours bid/offer on the stock c.) The broker does not "exercise and sell your option" , the broker exercises the option with the exchange and closes out the resulting stock position for you in the market immediately (e.g. exercises a long call and sells shares or exercises a long put and buys shares) d.) "You get to collect whatever the bid, spread? is when it's exercised." you collect the difference between the option strike and the price the shares are sold for in the market (for an exercised call) or the difference between the option price and where the shares are bought in the market (for an exercised put) e.) "This is another reason why the hood sells off your calls and puts at 2:30 ct time" ... that is not the reason.

calebsurfs

Headlines like this make me wish I could buy calls on Citadel or Jane Street because they are going to make a killing this quarter. Currently holding CBOE and CME as maybe the next best thing though.

CloverPeterson53

You are correct there is no way around that without paying for the CBOE open-close data. where i'd push back slightly: the assumption isn't random, it's directionally right more often than not for retail-heavy flow. but "more often than not" is doing a lot of work in that sentence and it absolutely breaks on names where the customer side is net short calls. i've watched it be wrong. honestly the most useful thing is where the size actually sits, and the call/put split at each strike. that's just open interest, no convention required. the net GEX number on top is the part carrying the assumption (but still a measurement) appreciate you writing that out anyways

duboilburner

Problem is vast majority of dealer gamma exposure models are making an assumption that \*all\* calls are sold short to market makers, and all puts are bought by customers, thus making market makers short the puts. This is called the 'naive' model. If you were to learn how a market maker actually hedges for gamma as we move through a certain type of exposure, it wouldn't apply to most of the gamma models you see because virtually no one has actual accurate market maker positioning. They're all just taking the naive assumption that dealers are long all the calls and short all the puts. The only tickers you can get accurate positioning for from CBOE is SPX and VIX. A few other services also buy that from CBOE and then come up with various ways of displaying the data for end user consumption--but you have to pay for that information either way. So, when someone says "we're in negative gamma" on a specific non-SPX and non-VIX ticker, I just assume they mean that spot is in a region of strikes that is put-dominated, but we don't actually have accurate info on what dealers are actually long or short to say if we're in negative or positive gamma.

duboilburner

Yeah, I used to use SPYvsGME dotcom for that. But then I realized most "GEX" was built using naive assumptions: that all calls are sold short to dealers, making dealers long the call gamma, and that all puts are bought by customers, making dealers short the put gamma. But this isn't accurate to what's actually going on. Unfortunately, the only tickers you can actually obtain the accurate positioning for in terms of what dealers are actually long and short is SPX and VIX, and for those, you do indeed have to pay CBOE a tidy sum of money to get it (or another service that buys the data from CBOE and calculates a way to display it, such as Unusual Whales' Persicope, OptionsDepth or VS3D). So, if you are to take what an actual Market maker would tell you they would do to hedge certain exposures as we move through them, it would not apply to the naive model because it's not what the market makers actually have on their books. Not saying it's not somewhat helpful info. You can at least see which strikes have the most exposure and if it's mostly puts or calls, but we don't actually know if dealers are actually net long or net short gamma at each strike using the naive model.

TheESportsGuy

You have to guess which side the market maker is on, and joke's on you because a lot of times the answer is "both." You'll see this trash marketed as GEX, and yes, some days/weeks/months positive gamma pins the market, but you can't know which days those are going to be without guessing right a bunch, so your options are hope-you-get-lucky-guesses or pay the CBOE for MBO data, parse it all, and calculate actual GEX...And that's assuming their true GEX is fully qualified through CBOE positions alone... And then you're hoping that your assumption MMs are hedging fully delta neutral holds up and that somehow you can beat them and all of the other people who understand this dynamic to a good price. I gave up at "pay the CBOE for MBO data". Not before I wasted a bunch of time and money on SpotGamma watching this all play out. There's a reason you can't backtest or programmatically connect to their software. It'd be too quick and easy to prove that there's no edge in any of the things they provide. They are getting delayed CBOE MBO data though, which is interesting to analyze even if I have to scrape it.

Got_Engineers

TradingView has live option prices you just have to pay for the CBOE feed it’s like $10 a month. Than you just add them to a watchlist.

OptionsProOfficial

Others already mentioned this (@ken385), but CBOE DataShop is the exchange source. If you specifically want API access, look at ThetaData. They cover the SPX global trading hours session. You pull the overnight window by setting the rth parameter to false. dxFeed is another API option worth a look, but make sure it has that 8:15pm-9:25am block before you pay anything.

Chaotic_Stardust

look at CBOE Interest Rate and you get your answer :kek:

OurNewestMember

I think CBOE. also, why API access? It's historical data. Might be cheaper and easier in the medium term to get batch files and aggregate them and just work off of that. Point being, CBOE has a variety of data product offerings plus sales staff, etc, that can help get what you need. Not sure what your budget is. I'm also assuming you truly need SPX and can't make it work with other products that might have cheaper data alternatives. Lastly, I saw SPX (presumably with SPXW) but not SPXW only on CBOE. This is not API access, but... here's a $138/mo/symbol offering for minutely data (includes open interest but not additional Greeks): - https://datashop.cboe.com/option-quote-intervals Using 1hr aggregations instead cost $86 per trading month for the 1 symbol. Also note that this product no longer includes ticks without a price change (ie, size change only)

Ken385

Have you tried the CBOE itself? CBOE Datashop, [Cboe DataShop](https://datashop.cboe.com/)

Dimage54

Read the rule below. It means you’re trading way too many options every day. After hours count. “The **390 Professional Orders Rule** is a regulation established by the Chicago Board Options Exchange (CBOE) that classifies traders as "professional" if they average 390 option orders per day over a calendar month. This rule is designed to prevent non-professional traders from acting as market makers, as public orders receive priority over professional orders. The rule applies to all options orders sent to the broker for execution, including filled orders. Traders who exceed this threshold may face special order handling procedures and higher fees.”

hivaidsislethal

CBOE having issue for SPX xsp VIX btw on single leg.options

003E003

Yes and No. That's how they fool you. You need to know which customers hold the open interest. Not all customers hedge their gamma. Only market makers... and only certain market makers... hedge their gamma. There are many other large customers and traders that hold large positions in the market who do not hedge their gamma. But most GEX services lump it all together. It gets even more complicated but I'll leave it at that. Knowing exactly which customers are holding the positions requires buying that data from the CBOE and it's expensive. But nobody wants to pay that so they just make assumptions about the free, bulk, open interest data. The presume market makers sell puts to customers and buy calls from customers and so they assign all the gamma for all the open interest based on that basic wrong, outdated assumption. But the reality is plenty of customers sell puts and plenty of customers by calls from market makers and plenty plenty of very large customers trade very large quantities of spreads which include both long and short strikes and both puts and calls. If some customer trades 10,000 vertical put spreads most gex services will simply look at the bulk volume and open interest and assume market makers are short both strikes and assign short gamma to both strikes. Obviously they aren't. You just don't know who is holding the positions (who is long or short a strike) you see in bulk open interest numbers... Unless you buy that data. Vol signals is one service that has the correct data and they have several videos on YouTube that will explain all this better in detail. There are a couple other companies that come very close to having the correct data but also make some assumptions. If you're paying less than 200 or $300 a month for your gex service you aren't getting anything close to the real stuff.

_Clit-Commander_

Fuckin Fidelity’s boomer ass doesn’t let me trade SPX overnight but shows me the streaming live CBOE overnight prices. My call is way up and I can’t cash out!! Might move out of Fidelity

NationalOwl9561

Most of the time it is. Not all the time. Stop buying the BS that GEX tools are selling you to get you to buy their tool because they spend too much on CBOE data lol

WhenGeniusFail

Let's see if the CME is better at launching new products than the CBOE.

papakong88

I determine the 3XEM strike and the strike that would give me 80 cents for a 100 point wide PS (25 cents for a CS). Then I systematically place the orders from the lowest strike  to the 3X strike. Stopping for a few minutes then change price or move to the next strike. Each order is for 30 CS or 30 PS. I have only traded NDX options. Other options will be less efficient - more options for the same income. SPX costs more in fees because of the added CBOE fee.

r-rat

The rule is 390/day, not 390/account or 390/broker. CBOE can track you across accounts and brokerages so I personally wouldn't risk it.

MagnificentLee

Yeah, I guess that makes sense there’s no PFOF on SPX and XSP since CBOE is the only exchange. Thanks for the insights.

Plenty-Helicopter459

Directionally correct, IMO, with one really bad assumption. GEX does NOT tell you where MMs are positioned so you really don't know where they are hedging. In normal markets, big money sells calls and buys puts for insurance. In that case MMs are long calls and short puts and so will have to hedge accordingly. But not always. For example, in April, the liquidity was long calls, so MMs were short calls and long puts. There is only 1 place that I have found accurate MM positioning, and without that it's very difficult to read the end of the day and how Charm and Vanna are impacting MM hedging . CBOE has the data. It's very expensive to get.

BooBeef

But it’s the CBOE VIX Index, shouldn’t it be the same across all platforms?

Ken385

You can trade the overnight session on Tastytrade. For SPX, XSP, ViX and RUT. GTH (Global trading hours) are 815pm et to 925am et. Link to Tasty, [24-Hour Trading on CBOE Index Options](https://support.tastytrade.com/support/s/solutions/articles/Global-Trading-Hours#Eligible-products)

MrJohnDoe_R

Tools like OptionDepth and VS3D don't use naive GEX but actual postions provided by CBOE.

DiamondG331

Oddly enough on CBOE site it does not mention a single broker but so far yes the only two.

grAsMudhOrsE

I have some updates. Been officially on PRO for about 7 trading days. So far my SPXW execution doesn't appear different from what I had before. The fee otherwise is painful. 20c extra for each contract at least (and cheaper contracts have a few cents more, partially offset by more expensive ones have a few cents less). There is also a new CBOE rule, which IBKR complies, that they do Pro designation on a rolling month now. So no longer a quarterly thing.

skymagic

someone at CBOE needs to look into how they report futures...none of those numbers align with the sentiment in here 🤣

SadPudding531

Schwab hiding behind being 'conservative' is ridiculous. If CBOE and Nasdaq officially updated the designation window, the broker should be following the exchange rules, not maintaining a stricter penalty just because they feel like it

Tempest1897

It’s multiple is really compressed right now and I think it’s been caught up in “Kalshi is muscling in” but that seems really overblown. I’m long CBOE so obviously biased.

Main_Ad3943

Yes, I can trade SPX with Merrill too, but Merrill doesn't support CBOE trading hours, so I get locked out of trading overnight, which would be possible for certain index options (VIX,SPX) if I was using a broker that supported CBOE. I actually had some SPX options a few weeks ago that I would've profitted like 20k on if I sold them during the asia session, but by morning they were basically break even. Also, Merrill does some funny stuff with cost basis where if I sell something and rebuy it the same day, or only sell part of my holdings, it just freaks out and doesn't display my cost basis correctly until the next day. So scalping absolutely sucks on Merrill

Main_Ad3943

I was going to go with Schwab, but as far as I can tell they don't support CBOE and I like to trade SPX options so, IBKR seemed like a better fit

Advanced_Divide_4641

You should know by now they use AOL dial up trial discs to connect their app to CBOE.

solidsneeze

if you don't own CBOE to profit from your own fuck ups, what are you even doing

SeaEnvironmental756

Dude thinks he’s gonna long CBOE and then make this post like it’s an infinite money hack 

Thebaxxxx

When i come out of all cash mode it will be like the coming of gezus lol. My last round of market fuckery nearly sent CBOE to the depths of hell. This time i might knock em out for good 😼

notextremelyhelpful

It happens. I found an error in the CBOE 2019 VIX white paper about US central time vs US eastern time (NYSE trading hours) in epoch seconds for one stage of the calculations. I thought it was a big deal at the time in my twenties, but literally nobody gave a shit. It was corrected in the next edition.

HardradaTheKing

You could pick sectors that are down. This way you spread the risks over multiple stocks in a sector you deem good to hold for a couple of years. My advise would be to look at healthcare, financials and software. Also think about buying some CBOE, ICE or CME as a volatility hedge. If you wanna get more spicy, pick a small amount of AI infrastructure stocks like Marvell, Coherent, Arista or Credo. Safer AI would be Nvidia; since it is getting cheaper by the quarter. Stocks go up and down, but when in doubt: zoom out.

ThetaEdgeHQ

NDX options print to OPRA like everything else, so the data exists. The issue is that a lot of vendors market equity options and quietly leave cash settled index products out of the default set. Anyone selling full OPRA history has NDX. Databento was already mentioned, Polygon flat files and Algoseek are also worth a look at tick level. CBOE DataShop is the authoritative source since it is their listing, so if you want the cleanest fills that is the safe default. One practical warning for tick level NDX specifically. Volume is thin next to QQQ, so plenty of strikes and expiries will have sparse quote updates and wide markets, and your tick file will look patchy in a way that is real, not a data gap. If your model needs continuous quotes you may have to fill or filter around that. QQQ trades far more, which is exactly why more providers surface it by default even though NDX carries the larger notional.