R rkr Mar 8, 2021 #11 eo1989 said: Is there any reason why you choose to store only the data point at time 1545 and not at 1559 or 1600? Or is it something that CBOE does on their end? (Now that I mention it I do recall their site stating something along these lines...) More... Cboe does this. To denoise the closing imbalance. That's why I said it isn't so meaningful to do it for index options.
eo1989 said: Is there any reason why you choose to store only the data point at time 1545 and not at 1559 or 1600? Or is it something that CBOE does on their end? (Now that I mention it I do recall their site stating something along these lines...) More... Cboe does this. To denoise the closing imbalance. That's why I said it isn't so meaningful to do it for index options.
