Price Validations (Options Only)

Minimum Price Checks:

CFE will reject any complex/spread limit orders that would result in individual leg prints being priced below $0.01 if executed at that limit price. For example, a complex instrument with a 1:1 ratio containing all buys must have a net limit price of at least $0.02.

CFE will also reject any limit orders where the limit price of the order is less than an exchange determined buffer value for calendar, vertical, diagonal, butterfly, and box spreads. The current default buffer value applied for all spread types and products is zero.

Maximum Price Checks:

CFE will reject any limit orders where the limit price of the order is greater than the intrinsic value of a call or put vertical, butterfly, or box spread plus an exchange determined buffer value. The current buffer applied for this check is 1% of intrinsic value with a minimum of $0.03 and maximum of $0.50.