Effective September 15, 2021, Cboe Options Exchange (C1), C2 Options Exchange (C2), BZX Options Exchange (BZX), and EDGX Options Exchange (EDGX) will begin supporting enhanced price sliding for Market-Maker (MM) quotes.
Currently, MM quotes are rejected when entered at a price that crosses the contra side NBBO. MM quotes that lock the contra side NBBO are accepted or cancelled based on the PostingInstruction on the quote update.
Upon the effective date, the system will accept MM Quotes priced through the contra side NBBO within a configurable buffer. Quotes priced through the configured buffer will be rejected with the applicable reason code regardless of the PostingInstruction. The buffer will be configured at 5% with a minimum of $0.05 and a maximum of $1.00.
C1, C2, EDGX
- Quotes will execute upon arrival, when possible, against non-MM interest priced at or better than the best away market or best contra side local MM quote.
- Based on the PostingInstruction field, the remaining interest will be adjusted to display and rank one minimum price variance (MPV) away from the prevailing contra side NBBO.
- If the NBBO fades, the quote will readjust to rank and display at that previously prevailing NBBO price.
- Quotes can be opted out of the price-sliding functionality by specifying “Book Only, No Slide” or “Post Only, No Slide” in the PostingInstructions field on the Quote Update message. In such cases, any un-executed remainder of the incoming quote will be automatically cancelled.
BZX
- Quotes will execute upon arrival when possible, if there is local interest at or within the NBBO. Based on the PostingInstruction field, any un-executed balance of the inbound quote will either be (A) cancelled; or (B) adjusted to rank at a price locking the prevailing contra side NBBO and will display one MPV worse, depending on the sender’s choice.
- If the NBBO fades, the quote will readjust to rank and display at that previously prevailing NBBO price.
Testing of the new price sliding functionality is currently available in the BZX, C1, C2, and EDGX Options certification environments.