SpotGamma™

S&P 500 Stock Market Gamma Trading Levels Based on Options Open Interest

Options Exchange Monitor — Week of August 15, 2026 (36 SEC notices, 2 CFTC, 0 EDGAR)

SpotGamma tracks structural and regulatory changes in the U.S. options market: SEC SRO rule filings, CFTC actions, and OCC clearing notices. This update summarizes what changed and why it matters for options traders.

Executive Summary

  • OCC STAN Methodology Update (Doc 2026-15928) — APPROVED: The OCC has received SEC approval to incorporate options-implied interest rates as an additional input for constructing the interest rate discount curve used in its STAN margin/pricing methodology. This directly affects how OCC values options positions for clearing margin purposes — traders and risk managers should review whether this shifts margin requirements on interest-rate-sensitive positions.
  • OCC Margin Cash Interest Proposal (Doc 2026-15828) — PROPOSED: OCC has filed a proposed rule change to pay interest on margin cash held at the clearinghouse. If approved, this could meaningfully alter the economics of posting cash margin versus securities, affecting how professional traders and firms structure their collateral.
  • Nasdaq Bitcoin Index Options Correction (Doc 2026-15837) — APPROVED: A correction was published to the accelerated approval of Nasdaq PHLX’s Bitcoin Index Options listing rule (originally approved May 28, 2026). These cash-settled index options on Bitcoin are now formally approved and tradable on PHLX — relevant to any crypto derivatives desk.
  • CBOE Bitcoin ETF Index Options Fee Changes (Doc 2026-15829) — EFFECTIVE IMMEDIATELY: Cboe amended standard transaction fees for its CBTX (Bitcoin U.S. ETF Index Options) and MBTX (Mini Bitcoin U.S. ETF Index Options) products. Traders active in these products should review updated cost structures as of August 5, 2026.
  • NYSE American & NYSE Arca One-Minute Intra-Day Report (Docs 2026-16561, 2026-16562) — EFFECTIVE IMMEDIATELY: Both NYSE American and NYSE Arca now offer a new one-minute interval intra-day data report. This enhanced granularity in intra-day reporting is operationally relevant for firms monitoring real-time position and surveillance data on these venues.

Rule Changes by Exchange

Cboe Exchange, Inc.

  • TPH Transaction Reporting Duties (Doc 2026-16382)
    Amends rules governing Trading Permit Holder transaction reporting obligations on Cboe. Firms should confirm their reporting workflows remain compliant with the updated requirements.
    Status: Effective Immediately  |  Date: 2026-08-12  |  View filing
  • Bitcoin U.S. ETF Index Options (CBTX/MBTX) Fee Amendment (Doc 2026-15829)
    Revises standard transaction fees for Cboe’s Bitcoin ETF Index Options (CBTX) and Mini Bitcoin ETF Index Options (MBTX). Any desk trading these products should update cost models effective August 5, 2026.
    Status: Effective Immediately  |  Date: 2026-08-05  |  View filing
  • General Fees Schedule Amendment (Doc 2026-15830)
    Broader amendment to Cboe’s standard fees schedule across products. Traders should review the updated schedule to identify any changes to rebates or charges on their active products.
    Status: Effective Immediately  |  Date: 2026-08-05  |  View filing
  • Market-Maker Tier Appointment Fees (Doc 2026-15831)
    Adjusts the fees charged to market makers for tier appointments on Cboe. Market-making firms should evaluate whether tier structure economics have shifted and whether reallocation of appointment tiers is warranted.
    Status: Effective Immediately  |  Date: 2026-08-05  |  View filing

Cboe BYX Exchange, Inc.

  • Periodic Auction Contingent Instruction & Auction-or-Cancel TIF (Doc 2026-16559)
    Amendment No. 1 to BYX Rule 11.25 proposed introducing a new contingent instruction for Periodic Auction Only Orders and an “Auction or Cancel” time-in-force. The SEC has opened proceedings to determine whether to approve or disapprove — this is currently suspended pending that determination. Traders using periodic auction mechanisms on BYX should monitor this closely.
    Status: Suspended — Proceedings Opened  |  Date: 2026-08-14  |  View filing

Cboe BZX Exchange, Inc.

  • Small Retail Broker Distribution Program — BZX Top Data Feed (Doc 2026-16563)
    Introduces a distribution program for small retail brokers to receive the BZX Top Data Feed. Primarily a market data/access change; relevant to firms redistributing or consuming BZX data for options analytics.
    Status: Effective Immediately  |  Date: 2026-08-14  |  View filing

Options Clearing Corporation (OCC)

  • STAN Methodology — Options Implied Interest Rates (Doc 2026-15928)
    SEC has formally approved OCC’s amendment to its STAN (System for Theoretical Analysis and Numerical Simulation) methodology to incorporate options-implied interest rates as an additional input when constructing the interest rate discount curve for pricing. This refines margin calculations on interest-rate-sensitive positions and may alter theoretical values used in margin runs.
    Status: Approved  |  Date: 2026-08-06  |  View filing
  • Payment of Interest on Margin Cash (Doc 2026-15828)
    OCC proposes to pay interest on cash margin deposited by clearing members. If approved, this changes the relative attractiveness of cash versus securities as margin collateral and has direct P&L implications for firms carrying large cash margin balances.
    Status: Proposed — Open for Comment  |  Date: 2026-08-05  |  View filing

NYSE American Options

  • One-Minute Interval Intra-Day Report (Doc 2026-16561)
    NYSE American now offers a new one-minute interval intra-day report, providing higher granularity in intra-day position and activity data. Useful for risk and surveillance teams monitoring options flow in real time.
    Status: Effective Immediately  |  Date: 2026-08-14  |  View filing
  • Fee Schedule — MSCI Index Options Tier Changes & CUBE Break-Up Credit (Doc 2026-16100)
    Removes MSCI-related index options from certain tier discount and incentive programs, and adds a break-up credit for certain executions in the Customer Best Execution (CUBE) auction. Traders routing to CUBE on NYSE American should factor in the new break-up credit when evaluating auction execution economics.
    Status: Effective Immediately  |  Date: 2026-08-07  |  View filing
  • Manual Billable Rebate Program & Firm Monthly Fee Cap Credit (Doc 2026-16101)
    Amends the Manual Billable Rebate Program and adds a credit under the Firm Monthly Fee Cap. Firms executing manual trades on NYSE American options should review whether the revised rebate structure improves or reduces net transaction costs.
    Status: Effective Immediately  |  Date: 2026-08-07  |  View filing
  • Options Regulatory Fee (ORF) Amendment (Doc 2026-15926)
    NYSE American has updated its Options Regulatory Fee rate. The ORF is charged on all customer options transactions and flows directly into execution cost — member firms should update their cost-of-execution models.
    Status: Effective Immediately  |  Date: 2026-08-06  |  View filing

NYSE Arca Options

  • One-Minute Interval Intra-Day Report (Doc 2026-16562)
    NYSE Arca introduces the same one-minute interval intra-day report as NYSE American, providing enhanced intra-day visibility into options activity on this venue.
    Status: Effective Immediately  |  Date: 2026-08-14  |  View filing
  • Market Maker/LMM Posting Incentive Program — Non-Penny Issues (Doc 2026-15927)
    Implements a new posting incentive program for Market Makers and Lead Market Makers in certain non-penny options issues. MMs active in non-penny classes on NYSE Arca should assess whether this improves quoting economics on those names.
    Status: Effective Immediately  |  Date: 2026-08-06  |  View filing
  • Options Regulatory Fee (ORF) Amendment — NYSE Arca (Doc 2026-15925)
    NYSE Arca also updated its ORF rate in parallel with NYSE American. Member firms transacting on NYSE Arca options should update execution cost models accordingly.
    Status: Effective Immediately  |  Date: 2026-08-06  |  View filing

Nasdaq PHLX

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