# How is the difference between strike prices in an options chain determined?

I have been unable to find a formula, or any mention for that matter, of how the differences between successive strikes prices in an options chain are determined. It seems clear that the difference would depend upon the price of the underlying, but I would like to know if there is a standard way that this is determined, or whether each broker "rolls there own". Also, as the price of the underlying changes over time, how or when is this difference changed?

• Commonly, for exchange traded options, this is set out on the exchange's rules & regulations (for said product). I do not know how brokers handle this. Oct 15 '20 at 11:36
• @Kermittfrog thanks! That put me on the right track. I found this (theocc.com/Clearance-and-Settlement/Clearing/…), which gives the general guidelines, but there different exchanges can provide different offerings. Oct 15 '20 at 11:54
• The exchange has rules based on the stock price. Check the CBOE website. Oct 15 '20 at 14:44

Assuming we just mean equity optionson CBOE:

Strike Price Intervals: Generally, 2 1/2 points when the strike price is between \$5 and \$25, 5 points when the strike price is between \$25 and \$200, and 10 points when the strike price is over \$200. Strikes are adjusted for splits, re-capitalizations, etc. Strike (Exercise) Prices: In-, at- and out-of-the-money strike prices are initially listed. New series are generally added when the underlying trades through the highest or lowest strike price available. \$1 Strike Price Program:

Cboe may select up to 150 individual stocks on which option series may be listed at $1 or greater strike price intervals where the strike price is less than \$50. Additionally, if the price of the underlying stock is equal to or less than \$20, series with an exercise price up to 100% above and 100% below the price of the underlying stock may be listed. If the price of the underlying stock is greater than \$20, series with an exercise price up to 50% above and 50% below the price of the underlying stock (up to \$50) may be listed. \$2.50 Strike Price Program:

Cboe may select up to 60 individual stocks on which option series may be listed at \$2.50 strike price intervals where the strike price is greater than \$25 but less than \$50. Additionally, Cboe may list$2.50 strike prices between \$50 and \$100, provided the \$2.50 strike prices between \$50 and \$100 are no more than \$10 from the closing price of the underlying stock in its primary market on the preceding day.