SPX Options Trade-Signing Study Hits 80% Accuracy on Complex Multi-Leg Orders

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A new study has benchmarked, for the first time, the accuracy of algorithmic signing of complex multi-leg options trades on SPX, a long-standing gap in market microstructure research. The methodology reassembles legs printing within the same millisecond into their parent package and applies the quote rule at the net price level rather than per leg. Using Cboe's publicly available 3% trade sample as ground truth, 12,422 complex legs were graded, yielding an overall accuracy of 80.4% — rising to 87.9% when unrecoverable legged-in contra trades are excluded. By comparison, a single-leg quote rule applied to the same trades scored only 75.1%, and specific strategies such as strangles and iron condors graded as high as 91% and 88% respectively. A mirror-check on market-maker legs, where the rule agreed only 10.9% of the time, confirmed the signer is reliably identifying the spread-paying side rather than simply guessing.

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