Accessing SOQ Strike Range Information

The low and high strikes that define the range of strikes used in the Volatility Settlement SOQ calculation are established by the exchange on the Volatility Settlement Date. The Strike Range to be used in the SOQ will be established and disseminated at 8:45 a.m. ET. If market conditions warrant, the Strike Range may be updated between 8:45 a.m. ET and 9:15 a.m. ET. The Strike Range will not be updated after 9:15 a.m. ET.

The Strike Range is accessible in three ways:

Data Feeds - SOQ Strike Range Update messages are sent on U.S. Options Multicast PITCH, Multicast TOP, Opening Process, and Auction data feeds to announce the SOQ Strike Range.

Volatility Settlement EOI Webpage - The Volatility Settlement EOI webpage display described above includes the currently effective low and high strikes comprising the SOQ Strike Range.

Public JSON endpoint - The JSON endpoint for accessing Volatility Settlement EOI described above includes the currently effective low and high strikes comprising the SOQ Strike Range.