SPX Combo-on-Close Trading and OTC Access

Summary

The discussion asks whether SPX options offer a way to trade the index’s closing value with an offset for forward alignment, similar to a futures index basis trade. One response says SPX combo-on-close trades are available over the counter, with interdealer brokers making markets, and notes that a trader would need a separate way to hedge the cash exposure. Another respondent says they have not seen SPX combos trade at the close and mentions weekly futures or option rolls as common alternatives.

The replies present different accounts of availability, so the post does not settle whether a combo-on-close can be executed in the market conditions the questioner has in mind. It gives no pricing, liquidity, contract mechanics, or performance evidence. Its practical takeaway is that access may depend on OTC dealing and that hedging the resulting exposure is part of the trade; the comments leave the exact execution approach unresolved.

Key ideas

• One response describes SPX combo-on-close trades as OTC instruments quoted by interdealer brokers.
• A trader using a combo would need to hedge the associated cash exposure.
• A second respondent reports that combos do not trade at the close and points to weekly rolls instead.
• The replies disagree on availability and provide no detailed execution or pricing guidance.

Tags

# Combos on close SPX


# Combos on close SPX












I am wondering if anyone has any information on how combos on close trade. I've been looking at the BTIC (http://www.cmegroup.com/trading/equity-index/btic-block-trades.html) and was wondering if there was anyway to get something similar on SPX options to actually trade the closing price of the SPX + some offset for forward alignment without doing a jellyroll.

Thanks! Andrew

## Answer by JoshK (score 1)

https://quant.stackexchange.com/a/25690

There are "Combo-On-Close" for SPX options but they are OTC. Can you trade OTC? The main IDBs set markets in those. Obviously you would have to hedge your cash somehow.

## Answer by John (score 0)

https://quant.stackexchange.com/a/25681

Someone asked me similar question last week. No combos never trade at close in spx. Most people trade weekly to Jun {front fut}or various weekly rolls in spx . I looked at btic once, it was trading almost same level as roll mkt. If you traded combo you would hedge with future anyway? Btic seems like cool product to trade efp market. I am not sure if this answers you question but if you have more questions about spx rolls let me know. John

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