OCX prices its listed products against institutional-grade reference data from
the underlying derivatives markets, consumed in real time. The exchange
maintains its own market-data pipeline and treats that pipeline as the
authoritative source of underlying prices for everything it lists.
What flows in
For each instrument OCX tracks, the pipeline carries the standard market-data
quote types published by reference markets:
- Last trade — the most recent traded price. When trades are flowing, this
is the freshest signal of where a contract is changing hands.
- Best bid / best ask — the top of the order book on each side. Together
they define the live two-sided market and its mid.
- Settlement — the official daily settlement price. It updates on a daily
cadence and serves as a reliable anchor when intraday activity is thin.
OCX tracks the relevant futures contracts — across the front and deferred
months that make up each curve — and the options chains listed on those
futures. This gives OCX a real-time picture of both the underlying forward
curve and the market’s traded option prices for every underlying it lists.
All volatility and Greek values used in OCX pricing are computed by OCX from
observed prices using the models described in this section — never taken from
a third-party analytics feed — so our marks are internally consistent and
reproducible.
From feed to reference price
Raw quotes are normalized into a single reference price per instrument. OCX
prefers the freshest reliable signal — a live traded price or a clean two-sided
top-of-book — and falls back to the daily settlement when intraday data is
stale. Prices that are too old to be trustworthy are treated as unavailable
rather than being carried forward: a missing input produces no mark rather than
a stale one.
This reference price is the foundation for everything downstream: the perpetual
index, the options volatility surface, and dated-futures fair value all build on
it. 
