Cboe Quoted Spread Book

Overview

Quoted Spread Book (QSB) is a service from Cboe that enables tight liquid electronic markets in select exchange designated complex instruments that were historically traded mostly in open outcry. The exchange designated complex instruments currently include Box Spreads, Box Swaps and Jelly Rolls as specified in the Quoted Spread Book User Manual and summarized below. Additional complex instruments may be added in the future.

Market Makers use the Binary Order Entry (BOE) protocol Complex Quote Update and Complex Quote Update (Short) messages to quote QSB instruments over BOE Bulk Quoting Ports. See the US Options BOE Specification for details on the complex quoting interface.

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.

See the Quoted Spread Book FAQ for answers to commonly asked questions.

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 strike spacing is 1000. 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 in both expirations are the same 1000 spaced strikes. Approximately 25 Box Swaps will be quotable complex instruments each trading day.

Jelly Rolls

Jelly Rolls roll combo positions from one expiration to another. 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 details 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:

© 2025 Cboe Exchange, Inc. All Rights Reserved. There are important risks associated with transacting in any of the Cboe Company products or any digital assets discussed here. Before engaging in any transactions in those products or digital assets, it is important for market participants to carefully review the disclosures and disclaimers contained at: https://www.cboe.com/global-disclaimers.

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.