Examples
To demonstrate the value of the different price indicators used in the Cboe auction process for various situations, consider the following examples. Note that Cboe Auction information updates are time based, and these examples are not indicative of what would be expected in a Cboe Auction Update.
| Entry Time | Buy Shares | Sell Shares | Order Type/Price | Reference Price |
|
| Indicative Price | Auction Only Price |
|---|---|---|---|---|---|---|---|---|
| 15:54:00 | 4,000 | LOC/$17.00 | $17.25 | 0 | 4,000 | 0 | 0 | |
| 15:55:00 | 5,000 | Limit/$15.00 | $17.25 | 0 | 4,000 | 0 | 0 | |
| 15:56:00 | 3,000 | Limit/$18.00 | $16.50 | 0 | 0 | 0 | 0 | |
| 15:58:00 | 4,000 | LOC/$17.50 | $16.50 | 0 | 0 | 0 | 0 |
The last trade during the normal session occurred at 15:15 ET at $17.25. As there is no match on the book at the auction match, the official closing price will be derived from a time-weighted average price of the NBBO midpoint.
| Entry Time | Buy Shares | Sell Shares | Order Type/Price | Reference Price |
|
| Indicative Price | Auction Only Price |
|---|---|---|---|---|---|---|---|---|
| 9:27:00 | 1,000 | MOO | $10.05 | 1,000 | 0 | 0 | 0 | |
| 9:27:01 | 1,000 | MOO | $10.05 | 1,000 | 1,000 | $10.05 | $10.05 | |
| 9:27:02 | 1,000 | MOO | $10.05 | 2,000 | 1,000 | $10.05 | $10.05 | |
| 9:27:05 | 1,000 | MOO | $10.05 | 2,000 | 2,000 | $10.05 | $10.05 |
Previous closing price is $10.05. In this auction, we assume that the NBBO is too wide (not valid), so the Final Last Sale Eligible Trade is used as the Volume Based Tie Breaker. 2,000 shares will match at $10.05 at 9:30:00.
| Entry Time | Buy Shares | Sell Shares | Order Type/Price | Reference Price |
|
| Indicative Price | Auction Only Price |
|---|---|---|---|---|---|---|---|---|
| 9:27:00 | 5,000 | Limit/$13.75 | - | 0 | 0 | 0 | 0 | |
| 9:27:01 | 5,000 | Limit/$14.00 | - | 0 | 0 | 0 | 0 | |
| 9:27:02 | 2,000 | LOO/$14.00 | $13.875 | 2,000 | 0 | $14.00 | 0 | |
| 9:27:03 | 1,000 | LOO/$13.75 | $13.875 | 2,000 | 1,000 | $14.00 | $13.875 | |
| 9:27:04 | 2,000 | LOO/$13.90 | $13.90 | 2,000 | 3,000 | $13.90 | $13.90 | |
| 9:27:05 | 4,000 | LOO/$13.00 | $13.875 | 2,000 | 5,000 | $13.75 | $13.875 | |
| 9:27:06 | 6,000 | LOO/$12.00 | $13.875 | 2,000 | 11,000 | $13.75 | $13.875 | |
| 9:27:29 | 7,000 | LOO/$13.50 | $13.875 | 2,000 | 11,000 | $13.50 | $13.50 | |
| 9:27:30 | 9,000 | LOO/$13.75 | $13.75 | 11,000 | 11,000 | $13.75 | $13.75 | |
| 9:28:59 | 1,000 | Limit/$13.80 | $13.89 | 2,000 | 11,000 | $13.75 | $13.75 |
The NBBO is $13.75 x $14.00 until 9:28:59 at which point it becomes $13.80 x $14.00 due to the introduction of a limit order to buy at $13.80 on the continuous book at that time. At 9:30:00, this auction would execute 11,000 shares at $13.75.
| Entry Time | Buy Shares | Sell Shares | Order Type/Price | Reference Price |
|
| Indicative Price | Auction Only Price |
|---|---|---|---|---|---|---|---|---|
| 9:27:00 | 10,000 | Limit/$10.00 | - | 0 | 0 | 0 | 0 | |
| 9:27:01 | 10,000 | Limit/$10.01 | - | 0 | 0 | 0 | 0 | |
| 9:27:02 | 10,000 | Limit/$10.02 | - | 0 | 0 | 0 | 0 | |
| 9:27:02 | 100,000 | MOO | $10.005 | 100,000 | 0 | $10.005 | 0 | |
| 9:27:03 | 50,000 | MOO | $10.005 | 100,000 | 50,000 | $10.005 | $10.005 | |
| 9:27:04 | 20,000 | LOO/$9.90 | $10.005 | 100,000 | 70,000 | $10.005 | $10.005 | |
| 9:27:05 | 30,000 | LOO/$10.05 | $10.005 | 100,000 | 70,000 | $10.005 | $10.05 | |
| 9:27:06 | 20,000 | LOO/$10.10 | $10.005 | 120,000 | 70,000 | $10.05 | $10.05 | |
| 9:27:07 | 30,000 | Limit/$10.10 | $10.005 | 120,000 | 70,000 | $10.05 | $10.05 | |
| 9:27:31 | 50,000 | MOO | $10.005 | 120,000 | 120,000 | $10.005 | $10.005 | |
| 9:27:59 | 50,000 (40,000 remainder after fill against 9:27:01 order) | Limit/$10.01 | $10.015 | 120,000 | 120,000 | $10.015 | $10.015 |
The NBBO is $10.00 x $10.01 until 9:27:59 at which point it becomes $10.01 x $10.02. At 9:30:00, this auction would execute 120,000 at $10.015.
Late Limit On-Open Behavior
Consider a NBBO of $10.00 x $10.05 is present at the cut-off time of 9:28 ET. Shortly thereafter a LLOO is received to buy 10,000 shares at $10.25. The order will initially work at $10.00 as it is confined to the NBBO. The NBBO moves to $9.80 x $9.85. The order will continue to work at $10.00. Next, the NBBO moves to $10.05 x $10.10. The effective price for the order now is moved to $10.05 as it is a more aggressive price and is still within the original limit. The NBBO moves again to $10.30 x $10.40. The effective price will be set to $10.25 (the original limit price), where it will remain through the conclusion of the auction.
Late Limit On-Close Order Behavior
Consider a NBBO of $25.00 x $25.05 is present at the LLOC acceptance time of 15:55 ET. Shortly thereafter an LLOC is received to buy 10,000 shares at $25.15. The order will initially work at $25.00 as it is confined to the NBBO. The NBBO moves to $24.90 x $24.95. The order will be adjusted to work at $24.90. Next, the NBBO moves to $24.95 x $24.97. The price for the LLOC order now is adjusted to $24.95. The NBBO moves again to $25.18 x $25.20. The effective price will be set to $25.15 (the original limit price), where it will remain through the conclusion of the auction.