CBOE LiveVol historic option data includes BID and ASK for underlying. When underlying is ^SPX, what is the source of that info, as ^SPX is not traded, only it's options! TOS also provides values for BID and ASK for SPX. Does anyone know (guesses are not solicited) what the source of these BID and ASK values are? Documentation, URL, formula, ... desired! Please do NOT make any statements about SPY in response!
SPX is the cash index based on the last sale of the 500 stocks. The hedge is the ES future, which MM use for pricing, because that is what they can hedge with. Most retail trades just watch the SPX cash. There is NO bid/ask on the Cash which updates every 15 seconds. Does that help?
Robert: No, not yet. Here is what TOS provides: And here is a slot from LiveVol data from a different point in history: I am trying to understand the source for those values! It is possible they are based on some computation, and if so, am seeking more detail on this derivation.
I'll ask TOS, but expect their response same as prior responses: "Data is from our source! We do not originate it." (I am confident TOS does not originate it). BTW: I think the TOS and the LiveVol data source is the same (or generated the same). I just don't know what it is!
Market spreads very wide after normal Close time! During trading, spread is much tighter, but still wide enough to make me cautious.
SPX bids and offers are synthetic. If you take all 500 stocks and their "bids" you get the bid price for SPX. Take all 500 stocks on their offers and you get SPX offer. This is "theoretically what you would get if you wanted to do the arb i.e buy all 500 stocks on the offer or sell all 500 stocks on the bid. I doubt it's perfectly accurate. But close enough for home gamers. Realtime arb desks discern these values in house.
You need to ask what that is. If they are adding up all the bids on the 500 stocks and all the offers, that is silly. There is no bid/ask on a cash index.