Opening/Closing Auction

The Cboe Opening/Closing Auction has been designed to efficiently maximize the number of shares executed at a single price for securities during the regular market open/close. In the event of a volume based tie at multiple price levels the system will look for the price that minimizes imbalance, and finally if there is a still a tie across multiple price levels, then the auction price will be determined by the price closest to the Volume Based Tie Breaker. Additionally, Opening/Closing Auction prices will be collared such that they are within the Collar Price Range as measured immediately prior to the conclusion of the auction.

During the Opening and Closing Auction Cboe disseminates Cboe Auction information to market participants via PITCH and the Cboe Auction Feed. Cboe Auction information contains valuable details about opening and closing orders as well as relevant pricing information for a security.

When the Opening/Closing Auction takes place, the Cboe continuous book will be brought together with the opening/closing auction book to create a single opening/closing price for each security. Once the auction is complete, any On-Open/On-Close orders that are unable to participate in the auction will be cancelled as will unexecuted Day and GTC orders at the Closing Auction. All other unexecuted orders will be released to the continuous book for normal processing.

If a halt is disseminated in a Cboe Listed security prior to the Opening or Closing Auction all orders on the Opening and Closing auction book will remain open. Members may cancel open auction orders, but may not submit new On-Open/On-Close orders for the halted security. If the halt persists through the Opening or Closing Auction all live On-Open/On-Close orders will be cancelled.