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OCX lists European-style, cash-settled options on equity indices. For every listed strike it publishes a reference mark, an implied volatility (IV), and a delta on the option board. These are reference values for display and risk; the prices you trade are always the OCX order book.

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Marks follow the reference option market

Each option’s OCX mark comes from the same option on the underlying reference market:
  • when the reference market is genuinely two-sided, the mark is the mid of its best bid and best offer;
  • when it is one-sided or too wide to trust, the mark falls back to the reference market’s own mark or last trade.
OCX does not replace these marks with its own model prices. The board’s bid and ask are the best prices on the OCX order book, which can differ from the reference market.

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Forwards

Options on an index are priced off a forward — the market’s price today for the index at a future date. OCX takes each expiry’s forward from the underlying index futures on the reference market and publishes it per expiry in expiryForwards on the board, together with an at-the-money IV.

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Implied volatility and delta

Implied volatility is the volatility that makes the Black-76 model — the standard model for options on futures — reproduce an option’s price, given the forward, strike, and time to expiry. OCX solves for it from each mark, and computes delta from the same inputs, so an option’s IV and delta are always consistent with its displayed mark and its expiry’s forward. Calls and puts at the same strike are priced against the same forward, so their implied volatilities agree (put-call parity). Where a listed strike has no usable reference price, its IV is interpolated from neighboring strikes in the same expiry.
IV on the board is quoted in percent (for example "15.08" means 15.08%). Each row also carries isStale and ageMs so you can see how fresh its reference input is.

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Reference-only strikes

The board can include strikes that are shown for reference but are not listed for trading on OCX. Those rows carry tradable: false; only rows without it can be ordered.

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Settlement

At expiry, in-the-money options are exercised automatically and settled in USDC at intrinsic value × quantity × multiplier, against the settlement fixing for the underlying. There is no early exercise. The full board, with marks, IV, and delta for every strike and expiry, is available via GET /markets/board?underlying=SPX and its streaming counterpart GET /markets/board/stream.