Internally, the tick scale for a particular product is known as the variable tick table (VTT). The VTT instructs internal systems what the minimum allowable price increment is for a given range of option premium, which means that essentially the tick is not fixed, but variable, and the minimum price increment increases with option premium.  

Prior to the tick size modification, minimum tick increments for benchmark E-mini options operated using only two possible tick sizes. Markets have changed significantly since the initial implementation of the VTT scales for E-mini options. Many new participants have entered the markets, and options volumes have grown significantly. In particular, fast-moving, lower-priced short-dated options are now a large part of this growth story.   

Two key market needs have emerged in recent years. First, the demand for more granular price discovery in short-dated, low-premium options. Second, the need to manage customer orders efficiently while reducing matching engine latency.

Smaller tick sizes for lower-priced options enable finer price discovery, while slightly wider tick sizes for higher-priced options reduce messaging volume and system latency. The updated VTT structure displayed below better aligns tick sizes with evolving options market dynamics.

A year-over-year comparison of regular trading hours (RTH) liquidity reveals significant bid-ask spread compression across all expiry tenors and premium buckets in the E-mini S&P 500 options market. By evaluating sample weeks from August 11 to August 15, 2025, against August 10 to August 14, 2026, this study isolates and quantifies these execution cost reductions.

Rather than evaluating spread widths and order book depth across traditional moneyness categories (ITM, ATM and OTM) split by option type, liquidity metrics for this analysis have been aggregated directly into absolute premium tiers (0-5, 5-20 and 20-100 index points).

Traditional moneyness metrics often mask the underlying market risk profile and dollar exposure – a short-dated ATM option can carry an identical nominal premium to a long-dated, deep OTM option (e.g., both priced at 10 index points) despite vastly different expiration profiles. Categorizing market microstructural data by nominal premium level normalizes execution cost against dollar risk across calls and puts simultaneously, offering a direct reflection of market maker risk exposure and capital commitment. 

The charts below showcase bid-ask spread comparisons specifically for 0DTE options. Full data arrays for more further dated tenors can be found in Appendix A.

The empirical results are clear: Our expanded VTT structure compressed spreads across the curve. While the sharpest tightening occurred in short-dated, high-premium options, the efficiency gains extended continuously through intermediate and longer-dated expirations across premium levels.

• Low-premium contracts (0-5 index points): Execution friction remained extremely low, tightening slightly from 0.08 to 0.07 index points (~12.5% reduction). This bucket captures low-dollar-risk contracts, such as far OTM wings or ultra-short-dated options near expiration, where absolute risk is lower.
• Mid-premium contracts (5-20 index points): Liquidity improved year over year, with average bid-ask spreads dropping from 0.4 down to 0.31 index points – representing a 22.5% reduction in transaction costs for 0DTE options.
• High-premium contracts (20-100 index points): The most significant liquidity improvement occurred in high-premium contracts where spreads plunged from 2.36 down to 0.78 index points, representing a 67% compression year over year.

The compression in spreads across both tenor and premium levels confirm the updated VTT schedule delivered immediate, tangible transaction cost reductions for market participants. The bottom-line impact is striking. For instance, a trader executing a 100-lot order in 0DTE E-mini S&P 500 with premium value of $5, would see their bid-ask spread collapse by 0.09 index points (from 0.4 down to 0.31). At $50 per index point, that single order captures $450 in cost savings, significantly lowering execution drag on high-frequency and tactical strategies alike.

A primary risk associated with tick size adjustments is the potential dilution of top-of-book depth. However, empirical analysis of Level 1 (L1) and Level 2 (L2) order books confirms that total contract depth was remarkably well preserved, and in some cases improved across tenor buckets.

Short-dated expirations (0DTE and 1-5DTE): Liquidity remained strong overall. Low-premium (0-5 point) depth dipped slightly across both 0DTE and 1DTE to 5DTE contracts, but 0DTE higher-premium tiers (5-100 points)  tracked 2025 baselines almost identically. For 1- to 5-day tenors, depth contracted mildly across low-to-mid premium tiers (0-20 points) whereas high-premium (20-100 points) resting liquidity held firm year over year.

Intermediate expirations (6-20 and 21-50 DTE): Liquidity heavily toward lower-premium contracts. This expansion peaked in the 21- to 50-day tenor, where 0-5 point premium depth jumped from approximately 790 to approximately 960 contracts.

Historical market data for E-mini S&P 500 options demonstrates that our VTT enhancements successfully optimized market structure. By enabling granular tick size adjustments, the VTT implementation brought about tighter bid-ask spreads across strike ranges and expiration timelines, yielding immediate execution cost savings for participants, while order book depth (a core measure of liquidity) remained comparable, and in several key segments, even improved.