Instrument Creation

The system supports instruments with up to 16 legs, one of which may be a stock leg. C1 only supports instruments with up to 100 legs, one of which may be a stock leg on non-FLEX Floor-Routed orders. Actual shares (reduced to lowest terms) is entered on the order for the stock leg (e.g., 100 equals 100 shares) and it is not entered in round lot quantities. The system will only accept a complex with stock strategy where the option legs all have the same deliverable amount. Customers can send Buy, Sell, Sell Short or Sell Short Exempt on the Stock Leg portion of the complex order.

Any complex instrument sent with a Buy stock leg will be considered a Debit strategy regardless of how many buy or sell options legs the instrument contains. Any complex instrument sent with a Sell stock leg will be considered a Credit strategy regardless of how many buy or sell options legs the instrument contains. The system will create the reverse of the instrument in order to store the instrument from the Buyer’s perspective.

The system validates that all complex instruments with a stock leg have at least one option leg with an opposite delta position relative to the stock leg. Below are examples of instruments that would be accepted and instruments that would be rejected by the system: