Complex Options Specific Symbol Processing

Cboe has implemented a Complex Instrument Creation (CIC) process due to the seemingly infinite number of combinations that can make up a complex instrument. This allows the Complex Auction Multicast PITCH specification to be consistent with the equities, standard options, and complex options Multicast PITCH specifications. This CIC process significantly reduces the size of the Complex Auction Multicast PITCH feed and allows customers to use the same feed handler for Cboe equities, options, and futures exchanges.

Real-time CIC messages are available on each unit’s multicast feed. Complex Instrument Definition Expanded messages are used to map the 6 character feed Complex Instrument ID (CID) to complex instrument definition. A complex instrument definition consists of two or more option legs. The complex instrument is valid only for the current trading date on which it was created. Complex Instrument Definition Expanded messages are unsequenced messages and can be sent from pre-market through the end of trading. Once a complex instrument is created, it cannot be deleted or modified for the remainder of the trading day.