Minimum Price Checks

The Exchange rejects any limit orders that would result in individual leg prints being priced below $0.01 if executed at that limit price. For example, a complex instrument with a 1:3 ratio containing all buys must have a net limit price of at least $0.04.

For Diagonal Spreads on SPX, SPXW, SPXO*, and VIX, the buffer value is -$50.00. This applies to orders selling a near month expiration call (put) in strike 1 and buying a far month expiration call (put) in strike 2, where strike 2 is lower (higher) than strike 1 (C1 only).

The Exchange rejects any limit orders where the limit price of the order is less than an Exchange determined buffer value for Calendar, Vertical, Diagonal, Butterfly, and Box Spreads.

For Roll Spread orders in all product classes the buffer value is -$999,999.99.

For Calendar Spreads on SPX, SPXW, SPXO*, and VIX, the buffer value is -$50.00.

The current default buffer value applied for all other spread types and products is zero.

Zero-priced SPX/SPXW/SPXO* vertical or butterfly complex buy orders are rejected unless FloorRoutingInst (22303) = D or TimeInForce (59) = 3 (C1 only).

*Effective 11/09/26