Options on futures trade on the same exchange the futures trade, so in case of S&P 500 futures, it is the CME. To answer the question of whether the option price will swing or not I suggest reading a book or two on options.
Trade the futures directly, they are more liquid and the spreads are smaller. Use the future options to hedge overnight risk if you take leveraged positions (pointvalue x futureprice x #ofcontracts > account liquidation value) overnight.
I'm interested in using options to hedge my overnight long positions in index futures. I'm thinking I'll probably stay naked for the short positions. I'm really just looking for disaster protection. I'd be interested in hearing how others do this, and how well it works. Currently I mostly trade the ES and ER minis.