Complex Instrument Structure

A complex instrument’s structure, as created through the CIC request process, is the ultimate determining factor as to whether a complex order will be posted as a bid or as an offer. Complex instruments will always be defined from the buyer’s perspective and will be communicated back to the requester on the Security Definition message following a Security Definition Request message. If a spread contract contains multiple OSI Roots and one contract from each root has the same side, class, strike, and expiration, then the legs will be ordered lexicographically by OSI Root (see CIC Example 4).

All CIC requests will be re-sorted according to the following method when defined and communicated back to the Exchange customers:

1. All buy legs
   1. Calls
      1. Lowest strike
2. Earliest expiration
   1. Puts
      1. Highest strike
3. Earliest expiration
4. All sell legs
   1. Calls
      1. Lowest strike
5. Earliest expiration
   1. Puts
      1. Highest strike
6. Earliest expiration