CBOE has no plans for market depth product

However, numerous sources believe otherwise. "CBOE has had a depth of book product ready to go for some time" but has not launched it because of doubts about demand for the service, says one industry source. "It thinks the data is not worth so much. It's not like equities, where you have a tight frame of orders," the source says. "Because options are traded in nickels, not pennies, the next price is further away."

Another source says there would be some demand for such data. "Most market-makers are not concerned about a depth feed because they just want the best bid and offer. But anyone who trades depth in the equities market and sees value beyond the BBO would see the value of depth in the options market."

Such a feed would also be useful to quantitative and arbitrage traders that need to spot opportunities outside the BBO because of the greater accuracies involved, and also to anyone hedging large trades that cannot get the contract size they need at the BBO and have to look for liquidity at other price points.

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