Synthetic BBO and Synthetic NBBO Calculations

The prices at which a complex instrument can be bought or sold based on the best prices available on the single leg book on the Exchange are referred to as the Synthetic BBO (SBBO). The prices at which a complex instrument can be bought or sold based on the best prices available single leg books at all markets are referred to as the Synthetic NBBO (SNBBO). For details on Synthetic BBO/NBBO calculations of a Complex order with a stock leg, please see Complex Orders with Stock Legs (C1 and EDGX only).

On BZX, SBBO and SNBBO calculations include the working price of a Display-Price sliding order if the working price is better than the displayed BZX BBO. For more information, please see Display-Price Sliding.