A fifth of SPX options volume still trades on Chicago's physical floor, data shows

An analysis of five years of SPX options tape data, mapping every OPRA condition code, reveals that roughly 20% of near-book volume consistently trades via open outcry on the Chicago floor, defying expectations of its decline. The complex order book has grown significantly, rising from 36% to nearly 45% of volume, while the simple electronic book fell to 26%, suggesting that dealers handling legs individually may be mismanaging nearly half the tape. Price-improvement auctions, identified as almost exclusively retail-initiated in lots of 10 contracts or fewer, doubled their share and approached 10% of volume on zero-days-to-expiry sessions in 2025. The data also shows that dealers end the trading day net long gamma on 83% of sessions, indicating a structural pattern of customers selling same-day optionality into the close. The findings represent what the authors describe as the first publicly tabulated breakdown of SPX flow composition by execution channel.