Can you use smart routing with SSF, or do you have to designate an exchange? Are there usually big price differences with the different exchanges? And what exchange has the highest average volume?
No SMART routing. There's only two US exchanges for SSF, and the contracts can not be traded from one exchange to the other. You have to close the position on the exchange you got it on. Price differences are not huge, sometimes 1¢, occasionally 2¢, and often the prices are the same. Links are in my signature to find out more information on volume and anything else about the exchanges.