Introduction
The Cboe Titanium Cboe Compression Service (CCS) is a multilateral compression service used by Cboe TPHs to manage capital requirements associated with portfolios of SPX and SPXW index option positions1. The CCS computes and automatically clears (after TPH approval) a portfolio of trades that provides maximum compression benefit to all participating TPHs.
TPHs participate in the service through the Cboe Customer Web Portal where they access the Cboe Compression Service application. They upload files that specify positions for compression, regulatory capital benefit associated with closing contracts of each submitted position, and cost and risk constraints on the portfolio of compression trades they are willing to accept.
The CCS determines a portfolio of position closing trades among participating TPHs that maximizes regulatory capital delivered to each TPH while satisfying all constraints specified by all TPHs. Each participating TPH is provided with a detailed compression portfolio specification that enables them to efficiently analyze the portfolio benefit and constraint satisfaction, after which they approve the multilateral portfolio using functionality provided by the CCS application. On unanimous approval of the portfolio by all participating TPHs, the trades comprising the portfolio are automatically cleared at the OCC, printed to OPRA, and disseminated on data feeds and FIX Drop connections to firms and their clearing providers in real-time.
This document begins with the Cboe Compression Service service description. It provides a high-level introduction to the full scope of TPH interaction with the service to effect position compression. Also included in the service description are service registration and certification details, intraday workflow timing, service availability dates, and Consolidated Audit Trail (CAT) reporting. The remainder of this document specifies the constrained position input file used to submit positions for compression and cost and risk constraints, and output files generated by the multilateral compression service.
1 FLEX option positions not supported.