Accessing Constituent Series Definition

On Volatility Expiration dates, a subset of SPX or SPXW series will be classified as "Constituent Series" for which the Volatility Opening Process will be in effect for the RTH Opening. On all other dates, there will be zero Constituent Series (i.e., no series to which Volatility Opening Process applies). Participants may access the list of Constituent Series for a trading date using File Download or Data Feeds in the same manner standard symbol mappings are accessed on Cboe Options markets. The following describes use of the two mechanisms to access Constituent Series definitions.

File Download - To download a file containing a list of constituent series on a given date, visit the U.S. Options Reference Data webpage and select the link for the Cboe Options Constituent Series (CSV).

The format of the Constituent Series Symbol Reference file is the same as the standard Symbol Reference file with the addition of the SOQ field, which identifies the Volatility Settlement SOQ in which the series is participating.

Data Feeds - Unsequenced Constituent Symbol Mapping messages are sent on U.S. Options Multicast PITCH, Multicast TOP, Opening Process, and Auction data feeds, with one message sent for each Constituent Series in a continuous loop as bandwidth allows. Each data feed specification contains a description of the Constituent Symbol Mapping message. The Constituent Symbol Mapping message is identical to the standard Symbol Mapping message with the addition of one field, SOQ Identifier, which specifies the Volatility Settlement SOQ in which the series is participating.