What type of information does Cboe 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, Cboe starts disseminating messages approximately every 30 seconds that contain certain information about the opening of individual series via the Cboe Streaming Markets (CSM) data feed. Cboe does not begin disseminating these messages until a quote that is within the Opening Exchange Prescribed Width (OEPW) for the series is present. On expiration days for VIX derivatives, this information is additionally published on the CFE website (here).
Expected Opening Price (EOP) and Expected Opening Size (EOS) Messages
- EOP/EOS messages indicate, based on the current mix of quotes and orders, the number of contracts that would be expected to trade on the opening and the opening price.
- EOP/EOS message convey information for a series with locked or inverted buy and sell interest for a particular series.
- Imbalance messages indicate that there is an imbalance of buyers or sellers, which would prevent Cboe's system from being able to open at a price within the valid opening price range.
- The message identifies the number of additional buyers or sellers required and the minimum or maximum price required to satisfy the imbalance, e.g., "Need more sellers... 150 at 8.20."
Additional "top of book" (BBO) 5-layer book depth market data is available via CSM.
Originally posted (Apr 14 2016); revised (Dec 27 2016); revised (Feb 6 2017).Back to the Top