Legging into Individual Series

Often, the best price available for a complex order can be obtained by legging the complex order into the individual series books that make up the complex instrument. For this to happen, the combination of the individual books must be able to fill at least part of the complex order quantity in the proper ratio.

All two-leg Complex Order Auction (COA) eligible Customer complex orders are allowed to leg in without restrictions. However, not all complex orders are eligible to leg into the individual series book.

The following complex orders cannot leg into the simple book:

• Non-Customer (COA eligible or not) and non-COA eligible Customer complex orders with two option legs where both legs are buying or both legs are selling AND both legs are calls or both legs are puts.
• Complex orders with three or four option legs where all legs are buying or all legs are selling.
• Complex orders with five or more option legs.
• AONs resting on the Simple Book will not trigger resting or inbound Complex Orders to leg into the Simple Book.
• Complex-to-Complex transactions will trade without regard to AONs resting on the Simple Book.
• A Complex Order that legs into the Simple Book based on displayed liquidity at the contra side SBBO will trade with better priced AONs if the size contingency on the AON can be met.
• Complex orders in Cross Product Spreads where the products do not operate on the same matching unit (e.g., SPX/SPXW, IWM/RUT, DIA/DJX, VIX/VXX, MNX/NDX). See Cross Product Spread Symbol List (C1 Only).

• Complex orders using Complex Quote Update messages on BOE Bulk Quoting ports.