Cboe Global Markets

Cboe® Quoted Spread Book

Coming June 24, 2024 (subject to regulatory review)

Explore the quoted spreads.    Learn More

Quoted Spread Book Overview

Quoted Spread Book (QSB) is a service from Cboe that enables Market Makers to rest orders directly in the Complex Order Books (COBs) of select Exchange Designated Box Spread, Box Swap and Jelly Roll complex instruments on the Cboe Exchange during Regular Trading Hours (RTH). See the Quoted Spread Book User Manual for details on the Box Spread, Box Swap and Jelly Roll complex that are covered by QSB.

Prior to QSB, Market Makers (MM) were not allowed to rest orders in SPX/SPXW option COBs during RTH. By allowing MMs to rest orders in select COBs Cboe customers will have the option to trade commonly traded spread instruments electronically against lit MM quotes in RTH, which historically were traded mostly in open outcry. See the Quoted Spread Book FAQ for answers to commonly asked questions.

With QSB, the Cboe Exchange designates select commonly traded spread instruments to exist and disseminates symbol reference data for those instruments prior to the start of the RTH session. Symbol reference data are available on the exchange Reference Data page and over Complex PITCH and TOP data feeds via the Exchange Designated Complex Instrument Definition message. See the Quoted Spread Book User Manual for symbol reference data access details, and the Complex PITCH and TOP data feed specifications for information on accessing symbol reference data over data feeds.

Quoted Spread Book Spreads

Box Spreads
Box Spreads on the first four serial, the first three quarterly and the first three December standard SPX contracts. The Box Spread strikes are 4000 and 5000. Approximately 10 Box Spreads will be quotable complex instruments each trading day.
Box Swaps
Box Spread rolls (aka, Box Swaps) roll Box Spreads from the first four serial and the first two quarterly expirations to forward serial, quarterly and December contracts. The Box Spread strikes at both expirations in a Box Swap are 4000 and 5000. Approximately 25 Box Swaps will be quotable complex instruments each trading day.
Jelly Rolls
Jelly Rolls roll a combo position forward from the 0-DTE, 1-DTE, and nearest Friday SPXW contract expirations, the first three serial and the first two standard quarterly SPX contract expirations to select forward expirations. For each expiration pair Jelly Rolls with multiple strikes are designated quotable including a 50-dollar rounded at-the-money strike plus and minus three increments of 50 dollars. Approximately 120 Jelly Rolls will be quotable complex instruments each trading day.

See the Quoted Spread Book User Manual for detail on the specific expiration combinations for Box Swaps and Jelly Rolls and for additional detail on Jelly Roll designated spreads.

More Information

For additional detail on the covered spreads and accessing the symbols each trading date see the following:

Quoted Spread Book Frequently Asked Questions
Quoted Spread Book User Manual
US Options Complex Multicast PITCH Specification
US Options Complex Multicast TOP Specification
US Options Complex Book Process

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These products and digital assets are complex and are suitable only for sophisticated market participants. In certain jurisdictions, including the United Kingdom, Cboe Digital products are only permitted for investment professionals, certified sophisticated investors, or high net worth corporations and associations.
These products involve the risk of loss, which can be substantial and, depending on the type of product, can exceed the amount of money deposited in establishing the position.
Market participants should put at risk only funds that they can afford to lose without affecting their lifestyle.