CBOE Open/Close data

The new CBOE data service provides “Open/Close” data, previously not available to the public.

This data separates transactions into open buys, open sells, close buys and close sells, and further separates into firm/customer. Here’s a sample (I think it chooses a random date):

http://www.marketdataexpress.com/dataEODCloseOverview.aspx?u=MSFT

I am very curious about how the exchange determines these transaction types. They informed me that it is not a required field so if it's blank on an order, it's not part of the data. Further questions have been left unanswered so far.

I have no experience with floor trading but happen to know that traditional order forms contain a field to fill out this information. A sample here:

http://ptisecurities.com/ThreeForms.htm

This begs some questions in my opinion, like:

What, if any, would be the incentive for a trader to fill out this information and share this with the public? One step further, why would he/she fill out the CORRECT information? In other words, how reliable is any of this?

Also, it would seem this information is only available in case of “floor orders” and not for electronic orders. On second thought I realize that it could be that electronic brokers do actually send this information along with your order, where the open/close status is electronically determined within your account. However (using IB) I never consciously sent along any information like this with my order.

Anyone, perhaps but not necessarily with floor trading experience, who can shed some light on the subject, thanks very much.

 

Well, the clearing house has this info so maybe CBOE has linked up with them. Also, usually brokers require you to specify whether you're opening or closing.

 

Thanks MTE.

I’m sure you are correct about the clearing house having the info but I don’t think this is CBOE’s source. They literally informed me:

“The open/close is a field that is filled in on orders, I will tell you that is not a required field so if it's blank on an order it's not part of the data.”

so it seems the open/close data is really based on whatever customers/firms deem appropriate to provide.

This is new to me. I have only used IB, just rechecked the TWS manual but nowhere can I find how, even if I wanted to, I can send open/close information with my order.

Do you have any idea why some (electronic?) brokers would require this info and others do not? What if you accidentally provide the wrong info, like open instead of close (which is of course separate from buy/sell)? Is your order refused or does this simply create “bad data” within the open/close database?

Appreciate your help.

 

Some brokers have software that automatically "knows" what you are doing based on existing positions, others require you to specify, like OptionsXpress for example. I think the ones that require you to specify have some built-in logic that checks what you specify so as to avoid mistakes.

 

Those would be the ones that provide the truly reliable open/close data. I will check with IB if indeed the software does this.

This I find very intriguing. If the software checks what you specify then why would it ask you to specify in the first place? Why not automate it from the start?

Let’s say you’re long 10 and then wish to sell 20 in one transaction; 10 are close sells, 10 are open sells, would you manually specify this?

It makes me even more curious about what happens when you provide the wrong info, using OptionsXpress for example. Or if you fill out nothing at all. Is the order rejected?

Sorry about so many Q’s. If there's anything you can add, thanks very much. I’m just trying to get a handle on how reliable the (rather expensive) open/close data is.

 

Don't know. Ask Optionsxpress.

At Optionsxpress you have 4 options when you fill out an order ticket: buy-to-open, buy-to-close, sell-to-open, sell-to-close. So if you have 10 and want to sell 20 then you need two order tickets as if you sell-to-close 20 then the order will be rejected. You cannot submit an buy/sell order without specifying whether you're closing or opening. As I said, there are only 4 choices.

I'd say this data is fairly reliable.

 

Since IB knows your position it can flag your orders accordingly.

I can't speak for why some brokers do this and others don't. I can guess that some may not self-clear and keep track of the info and others may not want to expend the effort to program it.

 

Thanks def, that’s very interesting.

In view of this I agree with MTE that the open/close data seems quite reliable. The question of what % of trades is ultimately represented here is something I will check out by comparing with the total number of trades.

On a separate note, I assume all option exchanges receive these data, but only CBOE publicizes them. While this is of course a commercial venture, hats off to them for taking this step. It is a milestone in market transparency.

I hope other exchanges will follow CBOE's lead, or better yet, that their data will be bundled with CBOE's to cover the complete option market.