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COPS:  Customized Options Pricing Service

COPS Frequently Asked Questions

  • 1. Which CBOE market-making firms are contributors to the service?

    The CBOE Customized Option Pricing Service (COPS) will initially use three CBOE registered market makers who will provide valuations to Market Data Express (MDX) for use in producing COPS valuations: Wolverine Trading LLC, Spot Trading LLC, and Sumo Capital LLC.
  • 2. How do I purchase valuations?

    First register on the Market Data Express website at www.marketdataexpress.com.  Then proceed to the COPS microsite to select the options that you want to receive values:  www.cboe.com/COPS. Valuations are delivered via secure FTP.
  • 3. Describe the process for determining final valuations?

    The final valuations are averages of multiple CBOE market making contributors.  Suppose three CBOE market making contributors submitted valuations for the following option:

    Market Maker 1
    $2.26
    Market Maker 2
    $2.17
    Market Maker 3
    $2.23
    Valuation
    $2.22

    The published valuation in this example would be $2.22.  The individual contributor valuations will not be published, but COPS will indicate how many contributors were used to calculate the final valuation. If five or more valuations are submitted, COPS will eliminate the high and low submissions and average the balance.  If less than five valuations are submitted, COPS will run a simple average. Market maker contributors will be periodically evaluated for performance.
  • 4. How is COPS different from other vendors?

    Some vendors use a single model to produce valuations while COPS uses a combination of values generated from multiple market maker models.  Moreover, COPS market making contributors' models tend to be especially robust as they are required to withstand the rigors of continuous quoting on CBOE.
  • 5. Does COPS price exotic options or structured products?

    Not at this time.  However, if CBOE lists exotic options, COPS may then be able to produce valuations on them.  COPS currently prices vanilla options only; the degree of customization allowed is limited to strike price (out to two decimal places), expiration date (maximum of 15 years out), and exercise style (American or European).
  • 6. Does COPS price derivatives from other asset classes besides equities?

    No. COPS is exclusively focused on the equity derivatives space.
  • 7.Can COPS produce valuations in a timely enough manner to satisfy daily NAV requirements?

    COPS makes the final valuations for all customized options available by 3:45 CST, which should help satisfy daily NAV requirements.
  • 8. What options are priced each day?

    COPS will price the following options each day:
    • All open FLEX options traded on any exchange that offers FLEX options for trading (visit this site for a current list of all open FLEX options:
      www.optionsclearing.com/webapps/flex-reports).
    • Over-the-counter (OTC) options where the degree of customization is the same as FLEX options.
    • Theoretical Values for Options that have not traded. COPS will price a series of near-the-money strikes from 1-year out to 15 years on SPX, NDX, RUT, EFA, DJX, and MID.
    • Customers are permitted to request their own specific options to be priced; the options must have the same degree of customization as FLEX options, i.e. limited to plain vanilla options that have a customized strike price, expiration date and exercise style (American or European).  Send in requests to ValuationRequests@cboe.com.
  • 9. How can I request that a particular option be priced?

    Request can be sent to ValuationRequests@cboe.com. Click on the Request New Options menu item (above) for detailed instructions.

Valuations represent an average of values supplied by third parties unless indicated otherwise for a particular valuation.  Valuations are indications of potential market prices only and as such are neither firm nor the basis for a transaction.  Over-the-counter (OTC) options are valued in the same manner as the equivalent exchange-traded Flexible Exchange (FLEX) option.  COPS data is not, and should not be construed as financial, legal or other advice of any kind, nor should it be regarded as an offer or as a solicitation of an offer to buy, sell or otherwise deal in any investment.





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