Differences between $index and AO/XO cash indexes ?

[Eddy]

Hi,
I would like to know what are the differences between the CME
=> $ cash index symbols
=> the corresponding A0/X0 symbols
I could find in the symbol guide the information (ie update freq. / origin of the data) for the $ indexes, but I have not found such information for the A0/X0 indexes. The index pairs I am concerned with are :
=> the cash indexes $SPX and IN X0, $NDX and IQ X0, $RUT and IU X0
=> the premiums $PREM and PREM A0 / $EPREM and EPREM A0

On top of the possible obvious display format difference, I have observed that A0/X0 indexes updates are much more frequent. This is especially the case for premiums (ie I do get much more E/PREM A0 ticks than $E/PREM ticks), but it is somewhat less obvious for cash X0 indexes.
Is that to be expected ? Should be the quotes synchronized or not ?
Are the X0/A0 quotes mirrored by Esignal from the original $quotes as issued by the exchange or are they coming from a similar/different source ? Any information on how XO/A0 quotes are generated (versus $ one) will be very much appreciated

Thanks
Eddy

PS : I have observed from times to times some differences in OPEN, HIGH, or LOW daily values between both types of indexes…
For example, after the Friday Aug 06 close, I could see 2.5 pt difference for the Russell (High of $RUT was 532.36 while high of IU X0 was 529.93)
As this is mentioned in the futures Q&A that "Some OPEN, HIGH, or LOW prices on futures do not match a different source” due to different trading hours being considered, but cash index being quoted on the RTH session, there might be another reason in this case ?

[Eddy]

Hi,
Any information available on this X0/A0 quotes ?
Main market cash indexes (S&P500, Nasdaq 100) and premium quotes are key information to trade with...
Thanks
Eddy

[DuaneG]

Hi Eddy,

I would like to know what are the differences between the CME=> $ cash index symbols
=> the corresponding A0/X0 symbols
I could find in the symbol guide the information (i.e. update freq. / origin of the data) for the $ indexes, but I have not found such information for the A0/X0 indexes. The index pairs I am concerned with are:
=> the cash indexes $SPX and IN X0, $NDX and IQ X0, $RUT and IU X0
=> the premiums $PREM and PREM A0 / $EPREM and EPREM A0

On top of the possible obvious display format difference, I have observed that A0/X0 indexes updates are much more frequent. This is especially the case for premiums (i.e. I do get much more E/PREM A0 ticks than $E/PREM ticks), but it is somewhat less obvious for cash X0 indexes.
Is that to be expected? Should be the quotes synchronized or not ?

The difference in the synchronization is due to the fact that PREM AO is updated with every tick of the corresponding future contract. $PREM is updated on a pre-set, timed interval.

Are the X0/A0 quotes mirrored by Esignal from the original $quotes as issued by the exchange or are they coming from a similar/different source ?

The XO/ AO data is generated and transmitted by the CME whereas the index or $ data is generated by the CBOE.

PS: I have observed from times to times some differences in OPEN, HIGH, or LOW daily values between both types of indexes…For example, after the Friday Aug 06 close, I could see 2.5 pt difference for the Russell (High of $RUT was 532.36 while high of IU X0 was 529.93)
As this is mentioned in the futures Q&A that "Some OPEN, HIGH, or LOW prices on futures do not match a different source” due to different trading hours being considered, but cash index being quoted on the RTH session, there might be another reason in this case?"

I'm still working with this part of the question. As soon as I have some more information regarding this, I'll re-post to the thread. Hope this answers some of the questions you had about this. Thanks.

[Eddy]

Duane,
Thank you for the feedback,
PREM A0 looks like the prime choice for following premium
Eddy