Effective July 9, 2021, Cboe Options Exchange (C1) will offer automated handling for non-FLEX complex index option orders that include a “combo” portion (synthetic future) and have up to an 8:1 ratio. This change is applicable in all broad-based index option classes.
A combo is a purchase (sale) of an index option call and sale (purchase) of an index option put with the same quantity, underlying index, expiration date, and strike price. An Index Combo order is an order to purchase or sell one or more index option series and the offsetting number of Index Combinations (combos) defined by the delta.
Currently, complex index option orders that include a combo portion plus at least one other leg and with a ratio only up to 3:1 are eligible for electronic processing. On the effective date, applicable complex index option orders that include a combo portion plus at least one other leg and have a ratio up to 8:1 will be eligible for electronic processing via COA, COB and AIM.
Specifically, to be eligible for electronic processing the ratio of the quantity on the smallest non-combo leg versus the number of combos must not exceed 8:1.
AIM functionality in SPX/SPXW during the RTH session is limited to orders of 10 contracts or less. With respect to this change, the AIM size cap will apply to the smallest leg. The AIM size cap for SPX/SPXW does not apply during the GTH session.
Orders with one option leg plus a combo will qualify provided the ratio does not exceed 8 options to 1 combo.
This functionality is currently available for testing in the C1 certification environment.