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they do price off the spx futures, although i don't know the exact method.
most of the big moves happen in the s&p pit, then the stocks follow behind.
a common mistake is to use the oex cash index as the value of the
underlying, which doesn't account for the forward price of the index. that's
why the synthetic futures prices (buy a call, sell a put) don't exactly
match the cash index. if you use the cash index in your pricing model- it
will price the options too cheap.
i'll defer to the doctor for the finer points of this.
regards,
ben
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