Instrument Opening Process

At the scheduled product opening time, each active instrument associated with a product is opened. All simple Futures instruments are opened first followed by spread instruments. After all Futures instruments are opened, simple Options instruments are opened, followed by Options spread instruments. For each instrument that is locked or crossed at the end of Pre-Open an equilibrium price (Opening Price) is computed that maximizes the number of matched contracts in the uncrossing process. To uncross each instrument book, orders that are priced equal to or more aggressively than the Opening Price will be matched at the Opening Price based on price-time priority, after which the uncrossed instrument transitions to a Trading state.

The opening trade price for these matched trades will be determined in the following manner:

1. The opening trade price will be the price that maximizes the number of matched contracts.

2. If multiple prices exist that maximize the number of matched contracts, the price among those prices which has the lowest absolute imbalance between total bid size and total offer size will be the opening trade price.

3. If multiple prices exist that maximize the number of matched contracts and minimize the absolute imbalance between total bid size and total offer size, and the volume-based tie breaker (VBTB) is within the range of prices that maximizes the number of matched contracts and minimizes the absolute imbalance between total bid size and total offer size, the opening trade price will be the VBTB.

Spread instrument legging into simple instruments is not in-effect during the Opening Process. As a result, it is possible for spread instrument Opening Prices to violate the Best-Bid/Offer (BBO) implied by the associated leg books. Spread instruments for which the computed Opening Price violates the implied BBO will remain in the Queuing state and the opening process will be retried periodically. After a number of reattempts without a valid Opening Price, queued orders in the spread instrument will be submitted to the order book for trading in time priority and will be handled according to normal trading rules including Matched Trade Prevention and simple instrument legging.

What if there are no crossing orders?

In the event that an instrument has no crossing orders at the conclusion of Pre-Open, queued orders will be submitted to the order book for trading in time priority and will be handled according to normal trading rules including Matched Trade Prevention and simple instrument legging.

How are Risk Limits handled during the Queuing Period and Opening Process?

During the Opening Process, executions will not be avoided to prevent exceeding risk limits. Customers that have exceeded their risk limits as a result of the Opening Process will transition into the Open session in a tripped state. In the case of risk limit violations, all remaining orders not executed during the Opening Process will be canceled and will not be moved onto the order book for trading. New orders received during the Open session, prior to the issuance of a risk reset, will be rejected. Customer-initiated Order Lockout with Mass Cancel requests received during the Pre-Open will function the same as in the Open session. See the Cboe Titanium Cboe Futures Exchange Risk Management Specification for more information.

Is Matched Trade Prevention In-Effect During the Opening Process?

Matched Trade Prevention (MTP) is not in-effect during the Opening Process. MTP is in-effect immediately upon transition to Open.

Is Threshold Width Protection In-Effect During the Opening Process?

All simple instruments comprising a product are opened before spread instruments. As each simple instrument is opened, its resulting BBO width is checked for threshold width violation. If a simple instrument BBO width exceeds the threshold width, associated spread instruments will remain in the Queuing state until all constituent leg threshold width violations abate, after which the Opening Process will be triggered.

Is the LMM Priority overlay In-Effect During the Opening Process for Options?

The LMM priority overlay is not in-effect during the Opening Process for Options instruments. It goes into effect immediately upon transition to Open.