What type of information does Cboe Options disseminate prior to the auction?
The lead up to the opening auction is open and transparent on all trading days, including expiration days for VIX derivatives. Beginning at approximately 7:30 a.m. Chicago time, expected opening information (EOI) messages are disseminated during the pre-open state regarding the constituent SPX option series. EOI messages contain information based on resting orders and quotes in the book, and those messages may include the expected opening price (EOP), the expected opening size (EOS), any reason why a series may not open if the current conditions persisted when the series was to open (e.g., opening trade price would be outside OEPW range, need quote to open) and any imbalance information, including the size and side of an imbalance.
Types of EOI Messages
The messages that may be disseminated are:
- Imbalance Messages (Need More Buyers / Need More Sellers)
These messages indicate that there is an imbalance in the market and more liquidity is needed. An imbalance exists if the quantity to buy (sell) represented by orders that are entitled to a fill at the current price exceed the available quantity to sell (buy) at that price. The Quantity field displays the additional quantity needed to successfully open the series, and the Price field displays the widest price at which the series is allowed to open given the current mix of orders and quotes.
- Expected Opening Price and Size (EOP/S)
These messages are sent for SPX series that have a quantity to trade at the open and are sent when the system has calculated that a trade will occur at the opening under current conditions.
EOP/S messages provide information as of a point in time prior to the SPX series moving into the OPEN state.
EOP/S messages are not designed to be used as a proxy for the prices of the SPX series that will be used to calculate the final settlement value for expiring VIX.
These messages are sent when the best quote bid/ask is either not present or too wide to open under rules governing allowable quote width.
Message Dissemination Time Interval
EOI messages are published to Cboe Option's website here on expiration days for VIX derivatives and are disseminated approximately every fifteen (15) seconds or less during the pre-open state. EOI messages are also disseminated over Cboe Options' APIs (FIX, CMI2 and CSM) approximately every five (5) seconds during the pre-open state. Additional "top of book" (BBO) 5-layer book depth market data is available via CSM.
The time interval difference between the dissemination of the messages to Cboe APIs and those posted on the Cboe website is due to a technical limitation. Reduction of the time to post to the website is being explored.
Originally posted (Apr 14 2016); updated (Dec 27 2016); updated (Feb 6 2017); updated (May 15, 2018).Back to the Top