Utilizing the quantitative expertise of CBOE’s Trading Permit Holders to deliver market consensus valuations
CBOE Customized Option Pricing Service combines the expertise of CBOE’s Trading Permit Holders (TPHs) with the simple access of CBOE’s affiliate Market Data Express (MDX).
Benefits include:
Market consensus valuations
• Final figures are averages of contributions from several CBOE TPHs that specialize in listed equity option trading, resulting in robust valuations. Rather than creating valuations based off a single model,
CBOE Customized Option Pricing Service produces values that are derived through a comprehensive price discovery process.
• Thorough quality control process to ensure consistency among contributors.
Equity derivatives expertise
• All open FLEX series are priced daily by CBOE’s TPH contributors.
• Contributors will provide valuations on other options upon request. Send requests to:
ValuationRequests@cboe.com.
• Exotic options, including Asian and Cliquet index options.
Customized Index Options
• A series of near-the-money strikes across several different maturities on various indices, offering implied volatility surface insight.
Timeliness
• Values are available by 3:55 p.m. CST, which should help meet deadlines for firms that required to prodice daily NAVs.
Simple pricing
• Customers can choose to purchase as many valuations as desired, as frequently as needed, through MDX’s simple website interface at www.marketdataexpress.com
. The fee schedule is:
No. of options valuations purchased per day
0-50
51-100
101-500
500 +
Fee per option per day
$1.25
$1.00
$0.75
$0.50
• Historical COPS data can be purchased for $75 per trading day.
For more information please contact Matt McFarland at (312) 786-7978 or mcfarland@cboe.com.
* COPS values are weighted averages based on multiple values submitted from participating CBOE TPHs. The weight of each TPH submission is determined by its distance from the median submission.
* MDX will not produce prices on the inital trade date of a new FLEX series; prices for a new series will be posted on the second day such series is listed for trading.
* COPS files are made available to customers via FTP each business day at 3:55 p.m. Chicago time.
COPS prices are derived as average of values supplied by third parties unless otherwise indicated, and are not actual prices, bids or offers posted in any market. Over-thecounter options are priced 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 or sell or otherwise deal in any investment.
CBOE | 400 South LaSalle Street | Chicago, IL 60605
February 2016
MDX